My general research interests are in applied probability and statistics: time series analysis, long-range dependent and heavy-tailed models, self-similarity, stable processes, max-stable processes and their applications to Internet traffic modeling, computer science and finance.
My most recent work focuses on extreme value theory. I am interested in the represenations, ergodic properties, structure and classification of max-stable processes and random fields. Exciting applications of max-stable processes and random fields arise in many fields where extremes and maxima are of interest.
Statistics and Applications
Internet traffic modeling, streaming data, estimation of the tail exponent and the extremal index. Prediction in max-stable models. Spatial statisitcs and wavelets.
Efficient simulation of stochstic processes: FARIMA time series, fractional Brownian motion, multifractional Brownian motion, linear fractional stable motions, max-stable processes and random fields. Computational prediction in max-stable random fields.
For more details and free Matlab and R code, click on the Software tab above.