Richard A. Davis
Department of Statistics
Invited Lectures and Seminars (since 1995)

Dec 18-20, 2015. International Workshop on Time Series Econometrics, Tsinghua Sanya International Mathematics Forum (TSIMF), Sanya, Hainan, China. Title: TBD

Nov 2-3, 2015. Workshop on Applied Probability and Computational Methods in Applied Sciences, Shanghai Mathematics Center at Fudan University. Title: TBD

Sep 11, 2015. Cornell Day of Statistics, Cornell University. Title: TBD

Aug 27-30, 2015. Workshop: Recent developments in statistics for complex dependent data Braunschweig. Plenary talk: On Central Limit Theorems For Weakly Dependent Random Fields.

Aug 8-13, 2015. Joint Statistical Meetings, Seattle. Session: "Statistical Advances of Large Scale Factor Models, VAR Models, and Functional Time Series Models." Reduced-Rank Covariance Estimation in Vector Autoregressive Modeling.

Jul 26-31, 2015. 60th World Statistics Congress—ISI 2015, Rio de Janeiro. Session: "Special Topics Session on Extreme Values and Heavy Tailed Phenomena." Threshold Selection for Multivariate Regularly Varying Data.

Jul 1-4, 2015. IMS-China International Conference on Statistics and Probability, Kuming, China. Session: "Time series analysis: recent challenges and advances." Theory and Inference for a Class of Nonlinear Models with Application to Time Series of Counts

Jun 25-27, 2015. 2015 Fifth International IMS-FIPS Workshop, Rutgers. Plenary talk: Big p: Eigenvalues for Cov Matrices of Heavy-Tailed Multivariate Time Series.

Jun 22, 2015. 60th Birthday Symposium for Thomas Mikosch, Copenhagen: TBD

Jun 14-17, 2015. Joint 24th ICSA Applied Statistics Symposium and 13th Graybill Conference, Fort Collins. Plenary talk: Sparse Vector Autoregressive Modeling

Jun 14-17, 2015. Joint 24th ICSA Applied Statistics Symposium and 13th Graybill Conference, Fort Collins. Panel Discussion: What Are the Expected Professional Behaviors After Statistics Degrees?

Jun 1-2, 2015. NSF Conference on “Statistics for Complex Systems”, Madison, WI: Theory and Inference for a Class of Nonlinear Models with Application to Time Series of Counts.

May 25-30, 2015. "Indo-US Workshop on Time Series Analysis", sponsored by SAMSI and Indian Institute of Science Education and Research, IISER, Pune, India: Computer lab on structural breaks.

May 25-30, 2015. "Indo-US Workshop on Time Series Analysis", sponsored by SAMSI and Indian Institute of Science Education and Research, IISER, Pune, India: Structural Breaks, Outliers, MDL, Some Theory and Google Trends.

Dec 6-8, 2014. Special Invited Session on Statistics of Extremes, and Applications, 7th International Conference of ECRIM on Computational and Methodological Statistics, Pisa: The extremogram: a measure of extremal dependence for univariate and multivariate time series.

Nov 13, 2014. Wharton Statistics Colloquium: Big n, Big p: Eigenvalues for Cov Matrices of Heavy-Tailed Multivariate Time Series.

Nov 6, 2014. Statistics Seminar, Department of Decision Sciences, Bocconi University, Milan: Theory and Inference for a Class of Nonlinear Models with Application to Time Series of Counts.

Oct 20-24, 2014. Conference on Applied Statistics in Defense, Bureau of Labor Statistics, Washington DC: Applications of the Extremogram to Time Series and Spatial Processes

Oct 17, 2014. Fourth Princeton Day of Statistics: Big n, Big p: Eigenvalues for Cov Matrices of Heavy-Tailed Multivariate Time Series. Jul 20-25, 2014. Keynote address, XXI SINAPE - National Symposium of Probability and Statistics, Natal, Brazil: Sparse vector autoregressive modeling.

Jun 29-Jul 3, 2014. Third IMS Asia Pacific Rim Meeting, Taipei: Asymptotic Theory for the Sample Covariance Matrix of a Heavy-Tailed Multivariate Time Series.

June 27-28, 2014. International Symposium on Financial Engineering and Risk Management FIRM2014, Beijing: Noncausal Vector AR Processes with Application to Economic Time Series.

June 15-20, 2014. First International Congress on Actuarial Science and Quantitative Finance, Bogota, Universidad Nactional de Colombia: Noncausal Vector AR Processes with Application to Economic Time Series.

June 15-20, 2014 Short Course (6 hours of lectures), "Heavy-tailed Time Series: Theory and Applications", First International Congress on Actuarial Science and Quantitative Finance, Bogota, Universidad Nactional de Colombia.

June 6, 2014. Workshop on Quantitative Methods in Finance and Insurance, University of Zagreb, Croatia: Big n, Big p: Eigenvalues for Cov Matrices of Heavy-Tailed Multivariate Time Series.

June 5, 2014. Crash Course On Risk Modelling Methods for Heavy Tailed Data (2 lectures), University of Zagreb, Croatia: Asymptotics for the Spatial Extremogram.

May 19-23, 2014. Self-normalized Asymptotic Theory in Probability, Statistics and Econometrics, National University of Singapore, Institute of Mathematical Statistics: Big n, Big p: Eigenvalues for Cov Matrices of Heavy-Tailed Multivariate Time Series

May 5, 2014. University of Washington, Statistics Seminar: Big n, Big p: Eigenvalues for Cov Matrices of Heavy-Tailed Multivariate Time Series.

Apr 17, 2014. Applied Probability and Risk Seminar, Columbia University: Big n, Big p: Eigenvalues for Cov Matrices of Heavy-Tailed Multivariate Time Series

Apr 4, 2014. Statistics Seminar, University of New South Wales: Big n, Big p: Eigenvalues for Cov Matrices of Heavy Tailed Multivariate Time Series.

Mar 24 and 26, 2014. Hotelling Lectures, University of North Carolina Talk 1: Structural Breaks, Outliers, MDL, Some Theory and Google Trends Talk 2: Big n, Big p: Eigenvalues for Cov Matrices of Heavy-Tailed Multivariate Time Series

Mar 6-8, 2014. Nishi-Izu Seminar, Toi Nishi-Izu: Asymptotics for the Spatial Extremogram.

Mar 3-5, 2014. Waseda International Symposium, “Stable Process, Semimartingale, Finance and Pension Mathematics,” Waseda University: Largest eigenvalues of the sample covariance matrix for p-variate time series with heavy-tails.

  • Jan 31, 2014. Van Dantzig Seminar, University of Delft: Largest eigenvalues of the sample covariance matrix for p-variate time series with heavy-tails.

  • Jan 30, 2014. "Inference for Change-Point and Related Processes," Isaac Newton Institute for Mathematical Sciences, Cambridge, UK. Theory and Inference for a Class of Nonlinear Models with Application to Time Series of Counts.

  • Nov 8, 2013. Statistics Seminar, University of New South Wales: Theory and Inference for a Class of Nonlinear Models with Application to Time Series of Counts.

  • Sep 23-27, 2013. Oberwolfach Conference on "Statistical Inference for Complex Time Series Data," Oberwolfach, Germany: Largest eigenvalues of the sample covariance matrix for p-variate time series with heavy-tails.

  • Sep 8-11, 2013. EVT2013 - Extremes in Vimeiro Today, Vimeiro, Portugal: Invited Speaker: Largest eigenvalues of the sample covariance matrix for p-variate time series with heavy-tails.

  • Aug 29, 2013. Workshop in Recent Advances in Asymptotic Statistics, Chinese University of Hong Kong: Largest eigenvalues of the sample covariance matrix for p-variate time series with heavy-tails.

  • Aug 25-30, 2013. 59th ISI World Statistics Congress, Hong Kong. Session: "Statistical methods for analyzing financial data." Sparse vector autoregressive modeling.

  • Aug 13-16, 2013. Building Bridges: Probability, Statistics and Applications: special session in honor of Claudia Kluppelberg's 60th birthday, Braunschweig: Largest eigenvalues of the sample covariance matrix for p-variate time series of length n with heavy-tails.

  • July 8-12, 2013. Extreme Value Analysis Conference 2013, Shanghai, China. Session: "Multivariate Extremes and Modeling." Statistical Inference for Max-Stable Processes in Space and Time.

  • May 27-30, 2013 "PhD Course and Workshop on Extremes in Space and Time:, University of Copenhagen. Topics:

    Part I The extremogram for time series: theory and examples

    Part II The space-time extremogram

    Part III Spatial modeling

  • Feb 21, 2013. Department of Mathematics Colloquium, Tulane University, New Orleans. Functional Convergence of Stochastic Integrals with Application to Inference in Time Series Models.

  • Feb 13, 2013. Econometrics Colloquium, Columbia University: Theory and Inference for a Class of Nonlinear Models with Application to Time Series of Counts.

  • Jan 21-24, 2013. 2nd Congreso de Actuarios de la UNAM, Facultad de Ciencias, Year of Statistics 2013, Mexico City. Noncausal Vector AR Processes with Application to Economic Time Series.

  • Jan 14-17, 2013. Heavy tails, extremes and long range dependence workshop, Indian Statistical Institute, Kolkata: Limit Theory for the Largest Eigenvalues of a Sample Covariance Matrix from High-Dimensional Observations with Heavy Tails.

  • Dec 3-4, 2012. MURI Kickoff Meeting, Natick, MA: Structural Break Detection in the Presence of Outliers

  • Oct 19, 2012. Department of Statistics, George Mason University. Detection of Structural Breaks and Outliers in Time Series.

  • Oct 15, 2012. U Penn Econometrics Workshop. Noncausal Vector AR Processes with Application to Economic Time Series

  • Oct 5-7, 2012. International Conference on Advances in Interdisciplinary Statistics and Combinatorics, Greeensboro, NC. Plenary talk: Sparse Vector Autoregressive Modeling

  • Sep 3-14, 2012. ECOLE de recherche CIMPA (UNESCO sponsored): Statistique, Environment et Changement Climatique: Cotonou, Benin: 4 lectures (2 hours each) on time series modeling, multivariate time series modeling, structural break estimation.

  • July 9-14, 2012. 8th World Congress in Probability and Statistics, Istanbul: Limit Theory for the Largest Eigenvalues of a Sample Covariance Matrix from High-Dimensional Observations with Heavy Tails.

  • July 6-8, 2012. Pre-World Congress Meeting for Young Researchers in Probability and Statistics, Istanbul: Identifying Structural Breaks and Outliers in Time Series. Identifying Structural Breaks and Outliers in Time Series.

  • June 19-22, 2012. Financial time series analysis: high dimensionality, non-stationarity and the financial crisis, Singapore National University, Institute of Mathematical Statistics: Sparse Vector Autoregressive Modeling

  • June 9-12, 2012. Keynote talk II: Recent Advances in Time Series Analysis, Protaras, Cyprus: Theory and Inference for a Class of Nonlinear Models with Application to Time Series of Counts

  • June 9-12, 2012. Keynote talk I: Recent Advances in Time Series Analysis, Protaras, Cyprus: Noncausal Vector AR Processes with Application to Financial Time Series.

  • May 23-25, 2012. Statistical Models for Financial Data III, Graz, Austria: Limit Theory for the Largest Eigenvalues of a Sample Covariance Matrix from High-Dimensional Observations with Heavy Tails.

  • Apr 19-21, 2012. Conference on Long-Range Dependence, Self-Similarity and Heavy Tails in Honor of Murad Taqqu.s 70th Birthday, Chapel Hill, NC. Limit Theory for the Largest Eigenvalues of a Sample Covariance Matrix from High-Dimensional Observations with Heavy Tails.

  • Apr 9, 2012. Info-Metrics Institute and Department of Economics, American University. Detection of Structural Breaks and Outliers in Time Series.

  • Mar 29, 2012. Department of Statistics, University of Lancaster, UK. Sparse Vector Autoregressive Modeling.

  • Mar 26-28, 2012. Recent Advances in Change-Point Analysis, CRiSM, University of Warwick, UK. Detection of Structural Breaks and Outliers in Time Series
  • Feb 24, 2012. Tinbergen Seminar, Amsterdam, The Netherlands: Estimating Extremal Dependence in Time Series via the Extremogram

  • Feb 22, 2012. Econometrics and Statistics Seminar, Tilburg School of Economics and Management: Detection of Structural Breaks and Outliers in Time Series.

  • Feb 5-8, 2012. Winter Statistics School, Les Diablerets, Switzerland (3 lectures, 1.5 hours each). Topics:

    Lectures 1-2: Detection of Structural Breaks and Outliers in Time Series.

    Lecture 3: Estimating Extremal Dependence in Time Series via the Extremogram

  • Oct 14, 2011. CRM-ISM-GERAD Colloque de Statistique, Montreal: Estimating Extremal Dependence in Time Series via the Extremogram

  • Sep 12-13, 2011. "New Developments in Econometrics and Time Series," Brussels: Noncausal Vector AR Processes with Application to Financial Time Series.

  • Sep 7-9, 2011. "Instantaneous Frequencies and Trends for Nonstationary Nonlinear Data," IMA, Minneapolis, MN: Detection of Structural Breaks and Outliers in Time Series.

  • Aug 25-26, 2011. 4th Annual Conference on Extreme Events; Stavanger, Norway (Distinguished Lecture): Estimating Extremal Dependence in Time Series via the Extremogram

  • Aug 1-5, 2011. 14th Brazilian Time Series and Econometrics School; Gramado, Brazil (Plenary talk): Estimating Extremal Dependence in Time Series via the Extremogram

  • June 14, 2011. IAS/IGSSE Doctoral Symposium on "Statistical Space-time Modeling for Wind Power Forecasts". Munich: A Class of Stochastic Volatility Models for Environmental and Computer Experiment Applications

  • June 10, 2011. University of Ulm, Mathematics seminar: Functional Convergence of Stochastic Integrals with Application to Inference in Time Series Models

  • May 25-27, 2011. Interdisciplinary workshop on "Econometric and statistical modelling of multivariate time series", Louvain-la-Neuve (Belgium): Noncausal Vector AR Processes with Application to Financial Time Series

  • Apr 4-8, 2011. CIRM Workshop on "Dependence in Probability and Statistics," Marseille-Luminy: Functional Convergence of Stochastic Integrals with Application to Inference in Time Series Models

  • Feb 7-18, 2011. Nonlinear Time Series Workshop, National University of Singapore: Estimating Extremal Dependence in Time Series via the Extremogram

  • Nov 30-Dec 2, 2010. 7th International Iranian Workshop on Stochastic Processes, Tehran, Iran (Plenary Talk): Allpass Processes with Applications to Finance

  • Nov 30-Dec 2, 2010. 7th International Iranian Workshop on Stochastic Processes, Tehran, Iran (2-hour workshop): Estimating Extremal Dependence in Time Series via the Extremogram

  • Nov 16, 2010. IEOR-DRO Seminar, Columbia University: Estimating Extremal Dependence in Time Series via the Extremogram.

  • Oct 20-21, 2010. Alaska Chapter of ASA sponsored course, Kodiak, Alaska: Short Course on Times Series (14 hours of lectures).

  • Sep 9, 2010. IBM Watson Research Center, Yorktown Heights, NY: Application of Heteroscedastic Spatial Model to Computer Experiments.

  • Aug 9-13, 2010. 73rd Annual Meeting of IMS, Gothenburg, Sweden: Another Look at Moving Average Models with a Unit Root.

  • July 20, 2010. Inaugural Lectures of the IAS Focus Group "Risk Analysis and Stochastic Modeling", TUM: Estimating Structural Breaks in Time Series.

  • June 17-18, 2010. Fourth IGSSE Forum 2010, Raitlenhaslach, Germany: Another Look at Non-invertible MA Models.26-30, 2010.

  • Apr 26-30, 2010. CIRM Workshop on "Spatio-temporal approaches for risk modeling," Marseille-Luminy: Measuring Extremal Dependence for Time Series and Spatial Processes via the Extremogram.

  • Apr 19, 2010. Quantitative Financial Econometrics Seminar, Stern, NYU: Estimating Extremal Dependence in Time Series via the Extremogram.

  • Apr 16, 2010. Volatility and System Risk, Stern School of Business, NYU: Discussant to Bryan Kelly's paper "Risk Premia and the Conditional Tails of Stocks Returns."

  • Mar 30, 2010. Econometrics Seminar, Toulouse: Structural Break Estimation in Time Series: Theory and Practice.

  • Mar 26-27, 2010. Conference on Latest Developments in Heavy-Tailed Distributions, Brussels, Belgium: Model Fitting for Autoregressive Processes with Alpha-Stable Noise.

  • Mar 19, 2010. Integration of Extremal Events in Quantitative Risk Management, Institut D'Economie Industrielle, Paris: The Extremogram: a Correlogram for Extreme Events in a Time Series.

  • Dec 17-19, 2009. Nonlinear Time Series: Threshold Modelling and Beyond: An International Conference in Honour of Professor Howell Tong, Hong Kong: Another Look at Non-invertible MA Models.

  • Nov 9-13, 2009. Spatio-temporal Extremes and Applications Workshop sponsored by Risk, Rare Events and Extremes Research Program, Bernoulli Center, Ecole Polytechnique Federale de Lausanne: Short course: Space-time extremes in two parts

    Part I. The extremogram: a correlogram for rare events

    Part II. Another look at Gaussian processes and associated copulae with a view towards spatial extremes

  • Nov 3, 2009. Center for Statistical Sciences and Department of Applied Mathematics, Brown University: Application of Heteroscedastic Spatial Model to Computer Experiments.

  • Sep 11-12, 2009. NSF/NBER Workshop in Time Series, Davis, CA: The Extremogram: A Correlogram for Extreme Events.

  • Aug 24-28, 2009. Oberwolfach Conference on "Challenges in Statistical Theory: Complex Data Structures and Algorithmic Optimization," Oberwolfach, Germany: Spatial Models with Applications in Computer Experiments.

  • Jun 28-Jul 1, 2009. First IMS Asia Pacific Rim Meetings, Seoul, Korea: Spatial Models with Applications in Computer Experiments.

  • May 27, 2009. Institute for Advanced Study, Technical University of Munich. The Extremogram: A Correlogram for Extreme Events

  • May 14-15, 2009. New Directions in Asymptotic Statistics, Athens, GA, keynote address: The Extremogram: A Correlogram for Extreme Events.

  • May 7, 2009. Department of Statistics, University of California, Davis: Allpass Processes with Applications to Finance.

  • Apr 25, 2009. New England Statistics Symposium, University of Connecticut. Featured keynote address: Allpass Processes with Applications to Finance.

  • Apr 4-8, 2009. Fourth Brazilian Conference on Statistical Modelling in Insurance and Finance, Maresias, Brazil: Heavy-Tailed Allpass Processes with Applications to Finance.

  • Apr 1, 2009. Satellite Meeting, "New Trends in Actuarial Practice," Pontificia Universidade Catolica do Rio de Janeiro, Brazil: The Extremogram: A Correlogram for Extreme Events.

  • Mar 3, 2009. Department of Statistics, Michigan State University: The Extremogram: A Correlogram for Extreme Events

  • Feb 12, 2009. Department of Statistics, University of Toronto: The Extremogram: A Correlogram for Extreme Events

  • Jan 13, 2009. The Chinese University of Hong Kong, Statistics Department Seminar: Spatial Models with Applications in Computer Experiments

  • Dec 2, 2008. Operations Research and Financial Engineering Colloquium, Princeton: The Extremogram: A Correlogram for Extreme Events

  • Nov 6-7, 2008. "Statistical Modelling Multivariate Dependence and Extremes in Finance," Oxford-Man Institute of Quantitative Finance, Oxford: Heavy Tails and Financial Time Series Models.

  • Nov 4, 2008. Joint Econometrics and Statistics Workshop Seminar, London School of Economics, Structural Break Estimation in Time Series: Theory and Practice

  • Oct 23, 2008. Econometrics Workshop, Columbia University: Structural Break Estimation in Time Series: Theory and Practice

  • Aug 3-7, 2008. Joint Statistical Meetings, Denver, CO. Session: Financial Economics, sponsored by the Business and Economic Statistics Section: Inference for Levy-Driven, Continuous-Time ARMA Processes.

  • Jul 3, 2008. Universite de Paris X, Nanterre Mathematics Seminar: Structural Break Estimation in Time Series: Practice and Theory

  • Jun 23-26, 2008. Statistical Modeling of Extremes in Data Assimilation and Filtering Approaches, Strasbourg, France: Spatial Models with Applications in Computer Experiments.

  • Jun 23-26, 2008. Statistical Modeling of Extremes in Data Assimilation and Filtering Approaches, Strasbourg, France: Extreme Value Theory in Time Series Analysis.

  • Jun 8-11, 2008. Recent Advance in Time Series Workshop, Cyprus: Maximum Likelihood Estimation for alpha-Stable and Allpass and Autoregressive Processes.

  • Apr 23, 2008. Wharton Statistics Colloquium: Structural Break Detection for Nonlinear Time Series.

  • Apr 11, 2008. Joint Washington State University and University of Idaho Statistics and Applied Probability Seminar: Structural Break Detection for Nonlinear Time Series.

  • Apr 4, 2008. Princeton Day of Statistics: Maximum Likelihood Estimation for alpha-Stable and Allpass and Autoregressive Processes.

  • Apr 1, 2008. Applied Mathematics Colloquium, Columbia University: Spatial Heteroscedastic Models with Applications in Computer Experiments.

  • Feb 28-Mar 2, 2008. "Emerging Directions in Probability and Statistics'': South Bend, IN: Break Detection for a Class of Nonlinear Time Series Models.

  • Feb 25-29, 2008. Oberwolfach Workshop, "Time Series with Sudden Structural Breaks": Some Theory Behind AutoPARM.

  • Nov 30, 2007. IOMS Department Seminar, Stern School of Business, New York University: Another Look at Estimation for MA(1) Processes with a Unit Root.

  • Oct 31, 2007. Department of Statistics, Rutgers University: Structural Break Detection in Time Series Models.

  • Oct 26, 2007. Department of Statistics, University of Michigan: Structural Break Detection in Time Series Models.

  • Sep 16-19, 2007. SAMSI Opening Workshop on Risk Analysis, Extreme Events and Decision Theory. Heavy Tails and Financial Time Series Models.

  • Sep 7, 2007. Probability Seminar, Columbia University: Another Look at Estimation for MA(1) Processes with a Unit Root.

  • July 23-27, 2007. Joint Statistical Meetings, Salt Lake City, UT, Session: Nonlinear and Nonstationary Time Series Analysis: Break Detection for a Class of Nonlinear Time Series Models.

  • July 29-Aug 2, 2007. 5th Conference on Extreme Value Analysis, Bern, Switzerland: Maximum Likelihood Estimation for Alpha-Stable Autoregressive and Allpass Processes.

  • May 23-26, 2007. Statistical Models for Financial Data II, Graz, Austria: Inference for Levy-driven Continuous-time ARMA Processes.

  • Apr. 24, 2007. College of Natural Sciences, Professor Laureate Lecture: The Dynamics of Change: Volatility and Where to Find It.

  • Apr 5, 2007. Clemson/University of Georgia Joint Seminar Lecture at Clemson: Heavy Tails and Financial Time Series Models.

  • Apr 4, 2007. Distinguished Lecturer in the Mathematical Sciences, Clemson University: Structural Break Detection in Time Series Models.

  • Jan 22, 2007. Department of Statistics, University of Chicago: Another Look at Estimation for MA(1) Processes with a Unit Root.

  • Nov 20-24, 2006. Oberwolfach-Seminar, "Dependence and Tail Modelling with Applications to Finance, Insurance, Teletraffic, and Climate," Oberwolfach, Germany. Holger Drees, Thomas Mikosch, and Richard A. Davis, organizers and lecturers.

  • Nov 9, 2006. Workshop on Statistical Modelling in Insurance and Finance, Pontificia Universidade Catolica do Rio de Janeiro, Brazil: Structural Break Detection in Time Series Models.

  • Nov 6-7, 2006. Workshop on Statistical Modelling in Insurance and Finance, Universidade de Sao Paulo, Sao Paulo, Brazil: Structural Break Detection in Time Series Models.

  • Nov 6-7, 2006. Workshop on Statistical Modelling in Insurance and Finance, Universidade de Sao Paulo, Sao Paulo, Brazil: Heavy Tails and Financial Time Series Models.

  • Oct 18-20, 2006. Time Series Analysis Course for the European Central Bank, Frankfurt, Germany. (18 hours of lectures).

  • Sep 15, 2006. National Center for Atmospheric Research, Institute for Mathematics Applied to Geosciences: Structural Break Detection for a Class of Time Series Models.

  • Sep 1-4, 2006. International Conference on Statistics, Combinatorics, and Related Areas, Tomar, Portugal, Plenary speaker: Structural Break Detection for a Class of Time Series Models.

  • Aug 21-25, 2006. Prague Stochastics 2006, Prague, The Czech Republic: Another Look at Estimation for MA(1) Processes with a Unit Root.

  • June 27-30, 2006. IMS Western Regional Meeting, Flagstaff, Arizona: Structural Break Detection for a Class of Nonlinear Time Series Models.

  • June 24-29, 2006. BIRS Workshop ``Statistics at the Frontiers of Science,'' Banff International Research Station, Banff, Canada: Structural Break Detection in Time Series Models.

  • June 8-9, 2006. Extremes in Action: ``Symposium for Georg Lindgren''. Lund, Sweden: Extremes of Space-Time Processes with Heavy Tails.

  • May 1, 2006. Department of Statistics, Columbia University, New York: Structural Break Detection in Time Series Models.

  • Apr 27, 2006. Department of Statistics, University of California, Davis: Structural Break Detection in Time Series Models.

  • Jan 23-25, 2006. Waseda Workshop on Time Series Analysis and Its Related Topics, Waseda University, Tokyo, Japan: Laplace Likelihood and LAD Estimation for Non-invertible MA(1).

  • Dec 12-14, 2005. Statistics and Probability Conference in Memory of Ching-Zong Wei, Academia Sinica, Taipei. Structural Break Detection in Time Series Models.

  • Dec 2-4, 2005. International Conference on Statistics, Combinatorics, Mathematics, and Applications, Auburn University, Auburn, Alabama. Structural Break Detection in Time Series Models.

  • Nov 9, 2005. Charles University, Prague, Czech Republic. Structural Break Detection in Time Series Models.

  • Sep 22-24, 2005. NSF/NBER Workshop in Time Series, Heidelberg, Germany. Laplace Likelihood and LAD Estimation for Non-invertible MA(1).

  • Sep 20-21, 2005. Nonlinear and Nonstationary Time Series Workshop, Kaiserslautern, Germany. Structural Break Detection in Time Series Models.

  • Sep 7-9, 2005. Fourth Annual Conference Statistics for Aquatic Resources, Corvallis, Oregon. Structural Break Detection in Time Series Models.

  • Jul 17-20, 2005. IEEE Workshop on Signal Processing, Bordeaux, France. Poster: Structural Break Estimation for NonStationary Time Series Signals.

  • Jul 6-8, 2005. 13th INFORMS Applied Probability Conference, Ottawa, Canada. Structural Break Estimation in Time Series Models.

  • May 21-22, 2005. CIRANO-CIREQ Financial Econometrics Conference, University of Montreal, Montreal, Canada. Structural Break Estimation in Time Series Models.

  • Apr 22-24, 2005. Workshop on Heavy Tails and Long Range Dependence, Cornell University. Heavy Tails and Financial Time Series Models.

  • Mar 25, 2005. Inaugural Alaska Consortium for Environmental Statistics (ACES), University of Alaska, Fairbanks, Alaska. Thoughts on Model Selection.

  • Mar 24, 2005. Public Lecture Sponsored by Alaska Consortium for Environmental Statistics, Fairbanks, Alaska. Financial Time Series, Nobel Prize, and Ecology.

  • Oct 25-27, 2004. INFORMS Annual Meeting 2004, Denver, Colorado Regular Variation and Financial Time Series Models.

  • Oct 21, 2004. Mathematics Colloquium, Washington University, St. Louis. Structural Break Detection in Time Series Models.

  • Oct 8, 2004. Mini-course, sponsored by the Department of Statistics, University of Lisbon, Lisbon, Portugal.

    Lecture 1: Regular Variation and Financial Time Series Models.

    Lecture 2: Structural Break Detection in Time Series Models.

  • Oct 5, 2004. Department of Mathematical Statistics, Lund University, Lund Sweden. Structural Break Detection in Time Series Models.

  • Oct 1, 2004. MaPhySto Workshop on "Nonlinear Time Series Modeling" sponsored by the Danish National Research Foundation Network in Mathematical Physics and Stochastics, Copenhagen, Denmark: Extreme Value Theory for Space-Time Processes with Heavy-Tailed Distributions.

  • Sept 27-30, 2004. MaPhySto concentrated advance course on "Nonlinear Time Series Modeling" sponsored by the Danish National Research Foundation Network in Mathematical Physics and Stochastics, Copenhagen, Denmark: Homepage for course.

    Lectures for Part I: Introduction to Linear and Nonlinear Time Series (4 Lectures)

    Lectures for Part II: Time Series Models in Finance (4 Lectures)

    Lectures for Part III: Nonlinear and NonGaussian State-Space Models (3 Lectures)

    Lectures for Part IV: Structural Break Estimation in Time Series Models (2 Lectures)

  • July 19-23, 2004. Third International Symposium on Extreme Value Theory: Theory and Practice. Aveiro, Portugal: Extreme Value Theory for Space-Time Processes with Heavy-Tailed Distributions.

  • July 12-16, 2004. Australian Statistics Conference and the International Biometrics Conference, Cairns, Australia. (Keynote address) Model Selection for Geostatistical Models.

  • June 9-12, 2004. International Workshop on Recent Developments in Time Series, Protaras, Cyprus. (Keynote address) Structural Break Detection in Time Series.

  • June 9-12, 2004. International Workshop on Recent Advances in Time Series Analysis, Protaras, Cyprus. (Keynote address) Parameter- and Observation-Driven State Space Models.

  • May 19-22, 2004. Second Lehmann Symposium, Rice university, Houston, Texas. Regular Variation and Financial Time Series Models.

  • Mar 31, 2004. Department of Statistical Science, Cornell University. Estimation for a Class of State-Space Models with Application to Structural Break Detection.

  • Mar 22 - 25, 2004. International Workshop on Applied Probability Piraeus, Greece. Estimation for a Class of Generalized State-Space Models.

  • Feb 28, 2004. International Symposium on Financial Time Series, Tokyo, Japan. Estimation for a Class of State-Space Models.

  • Dec 4, 2003. Statistics in Ecology Workshop, Jackson Hole, Wyoming. Model Selection for Geostatistical Models. (Talk given by Jennifer Hoeting).

  • Nov 12, 2003. University of Wollongong, Wollongong, Australia, R-Estimation for All-Pass Time Series Models.

  • Oct 15, 2003. Department of Statistics, University of Copenhagen: Estimation for State-Space Models: an Approximate Likelihood Approach.

  • Oct 2-5, 2003. International Conference on Statistics, Combinatorics, and Related Areas, Portland, Maine, Plenary speaker: Estimation for Parameter-Driven State-Space Models.

  • Sept 19-20, 2003. NSF/NBER Workshop in Time Series, University of Chicago, Estimation for State-Space Models: an Approximate Likelihood Approach.

  • Sept 3, 2003. Department of Statistics, University of New South Wales, Estimation for State-Space Models: an Approximate Likelihood Approach.

  • June 9, 2003. PRIMES Workshop on Data Model Fusion, Colorado State University. Introduction to Time Series Analysis and Time Series Laboratory.

  • Nov 14, 2002. Joint Mathematics and Statistics Distinguished Lecture Series, University of Wyoming: Estimation for Nonlinear State-Space Models.

  • Oct 30, 2002. Statistics Colloquium, University of Connecticut: Applications of the Innovations Algorithm to Nonlinear State-Space Models.

  • Oct 29, 2002. IBM Watson Research Center: Applications of the Innovations Algorithm to Nonlinear State-Space Models.

  • Sept 2 - 3, 2002. Academy Colloquium Masterclass, Royal Netherlands Academy of Arts and Sciences, Amsterdam, Netherlands: The Innovations Algorithm and Parameter Driven Models.

  • Aug 29 - 31, 2002. Academy Colloquium, "State Space and Unobserved Components Models in Honour of James Durbin", Royal Netherlands Academy of Arts and Sciences, Amsterdam, Netherlands: Observation Driven Models for Time Series of Counts.

  • Aug 11 - 15, 2002. Joint Statistics Meetings, New York City: Observation Driven Models for Time Series of Counts.

  • July 15 - 19, 2002. International Conference on Current Advances and Trends in Nonparametrics, Crete, Greece: Maximum Likelihood and R-Estimation for All-Pass Time Series Models.

  • June 14 - 16, 2002. Fourth Biennial International Conference on Statistics, Probability and Related Areas, Northern Illinois University: Maximum Likelihood Estimation for All-Pass Time Series Models.

  • Mar 19 - 22, 2002. German Open Conference on Probability and Statistics, Magdeburg, Germany: Maximum Likelihood Estimation for All-Pass Time Series Models.

  • Jan 14 - 17, 2002. International Workshop on Applied Probability (plenary speaker) Caracas, Venezuela: Applications of Multivariate Regular Variation and Point Processes to Financial Time Series.

  • Nov 12 - 16, 2001. IMA Workshop: Time Series Analysis and Applications to Geophysical Systems, Minneapolis, MN: Maximum Likelihood Estimation for All-Pass Models.

  • Oct 29 - Nov 2, 2001. Oberwolfach Conference on stable laws and processs, Oberwolfach, Germany: Limit Theory for Some Non-linear Time Series Models Including GARCH and Stochastic Volatility Models.

  • September 27, 2001. Mathematics and Statistics Colloquium, Utah State University. Linear Time Series with Nonlinear Behavior.

  • June 25, 2001. Satellite Meeting of Japan-US Seminar on Time Series, ISM, Tokyo, JAPAN: Modeling Time Series of Counts.

  • June 18-22, 2001. Japan-US Seminar on Time Series, Kyoto, JAPAN: Limit Theory for Some Nonlinear Time Series Models Including GARCH and Stochastic Volatility Models.

  • April 20, 2001. Mathematics Colloquium, U. of North Carolina, Charlotte. Sample Autocorelcations Functions for Financial Time Series Models.

  • Nov 17, 2000. Applied Mathematics Colloquium, U. of Colorado. Multivariate Regular Variation with Application to Financial Time Series Models.

  • Nov 8, 2000. Econometrics and Statistics Colloquium, sponsored by the Graduate School of Business and the Statistics Department, University of Chicago. Sample Autocorelation Functions for Financial Time Series Models.

  • September 17--21, 2000. First European Conference on Spatial and Computational Statistics, Ambleside, UK: Modeling Time Series of Counts.

  • June 15, 2000. Miniconference on Probability and Statistics, University of Groningen, Netherlands: Modeling Time Series of Counts.

  • May 15--20, 2000. Fifth World Congress of the Bernoulli Society for Probability and Mathematical Statistics, Guanajuato, Mexico: Linear Processes with Nonlinear Behavior.

  • May 10-12, 2000. Symposium on Inference for Stochastic Processes, Athens, Georgia: Linear Processes with Nonlinear Behavior.

  • Apr 12, 2000. Econometrics Seminar, Ohio State University. Limit Theory for Some Nonlinear Time Series Models Including GARCH and Stochastic Volatility Models.

  • Apr 11, 2000. Statistics Colloquium, Ohio State University. Linear Processes with Nonlinear Behavior.

  • Dec 10, 1999. Workshop on Extreme Values and Financial Risk, Munich University of Technology, Munich, Germany: Linear Time Series Models with Nonlinear Behavior.

  • Dec. 9, 1999. Demonstration of the ITSM2000 software, Munich University of Technology, Munich, Germany.

  • Oct 2-6, 1999. Workshop on Extreme Values and Additive Laws, Lisbon(Estoril), Portugal: Linear Time Series Models with Nonlinear Behavior.

  • Aug 30, 1999. Academia Sinica, Institute of Statistical Science, Taipei, Taiwan. Limit Theory for Some Nonlinear Time Series Models.

  • Aug 23-25, 1999. NSF/NBER Workshop in Time Series, Academia Sinica, Taipei, Taiwan: Linear Time Series Models with Nonlinear Behavior.

  • April 26-28, 1999. Workshop on Nonlinear Stochastic Models in Finance, EURANDOM, Eindhoven, The Netherlands:

  • Apr 22, 1999. University of Groningen, Department of Mathematics: Recent Developments in the Unit Root Problem for Moving Averages.

  • March 28-31, 1999. IMS Spring Meeting, Atlanta, GA. Session: Invited session on Current Issues in Time Series Analysis:

  • March 23--27, 1998, Workshop on Time Series sponsored by Centre de Recherches Mathematiques (CRM), Universite de Montreal, Canada. Modeling Time Series of Counts.

  • Nov 18-19, 1998: Satellite Meeting of of Young Dutch Statisticians and Probabilists, Lunteren, Netherlands (2 Lectures):

  • Nov 16-18, 1998. Annual Meeting of Dutch Statisticians and Probabilists, Lunteren, Netherlands (2 lectures):

  • Nov 14, 1998. University of Groningen, Department of Mathematics: Estimation for Nonstandard Time Series Models.

  • October 12--16, 1998. Econometrics and Financial Time Series Workshop, Newton Institute, Cambridge University, UK. Asymptotic Theory for Some Nonlinear Time Series Models.

  • August 18--22, 1998, Extreme Value Theory Workshop, Gothenborg, Sweden.

  • Apr 23, 1998. Colorado State University, Dept of Mathematics: Limit Theory for Nonlinear Time Series Models.

  • Apr 10, 1998. Colorado School of Mines, Dept of Mathematics: LAD estimation for time series models.

  • Jan 30, 1998. University of Colorado at Colorado Springs, Dept of Mathematics: LAD estimation for time series models.

  • Oct. 10--11, 1997, NSF/NBER Workshop in Time Series, Duke University: Recent advances in the unit root problem for MA(1) processes.

  • Jun 1-3, 1997, Canadian Statistical Society Annual Meeting, New Brunswick, Canada.

  • May 4-7, 1997, INFORMS Meeting, San Diego, CA.

  • Feb 1--18, 1997, Oberwolfach Conference on Extremes and Point Processes, Oberwolfach, Germany.Point Process Theory of Bilinear and Stochastic Volatility Models.

  • Jan 31, 1997. University of Bern, Dept of Statistics: LAD estimation for time series models.

  • Dec 6, 1996. University of Gothenburg, Dept of Mathematics: Opponent for Nader Tajvidi's PhD thesis defense.

  • Dec 5, 1996. University of Gothenburg, Dept of Mathematics: LAD estimation for time series models.

  • Sept 27-29, 1996, First NIU Symposium on Statistical Science, Northern Illinois: Recent Advances in the Unit Root Problem in Time Series.

  • Aug 23, 1996, Satellite Conference on Heavy Tailed Phenomena, Wroclaw, Poland. Inference for Linear Processes with Stable Noise.

  • Dec 12, 1995. Cornell University, Dept of ORIE: Inference for MA(1) processes with a root on or near the unit circle.

  • Dec 2, 1995, Workshop on Stable Distributions, Santa Barbara, CA: Estimation for ARMA models with heavy tailed noise. Inference for Linear Processes with Stable Noise.

  • Nov 17-18, 1995, NSF/NBER Workshop in Time Series, Harvard University: LAD estimation for time series models.

  • Oct 30-31, 1995, Workshop on time series, Washington Statistical Society, Washington D.C. (10 hours of lectures).

  • May 17, 1995. RMIT, Dept of Statistics: LAD Estimation in Time Series.

  • Mar 17, 1995. U. of Sydney, Dept of Statistics: Inference for MA(1) processes with a root on or near the unit circle.

  • Mar 24, 1995, Workshop on Time Series, U. New South Wales, Australia: LAD Estimation in Time Series

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