Short Vita
Howard Levene Professor of Statistics
Chair, Department of Statistics
Department of Statistics
Columbia University
New York, NY 10027
2128512131
rdavis@stat.columbia.edu.
Education:
BA, Mathematics, June 1974, University of California, San Diego
Ph.D., Mathematics, June 1979, University of California, San Diego
Professional Experience:
2013  present, Chair, Department of Statistics, Columbia
2007  present, Howard Levene Professor of Statistics, Columbia
University
2006  2008, Professor Laureate, College of Natural Sciences, Colorado State University.
2003  2008, Codirector of PRogram for Interdisciplinary
Mathematics, Ecology and Statistics (PRIMES), an NSF IGERT funded
project at CSU.
1997  2005, Chair, Department of Statistics, Colorado State University.
1990  2008, Professor, Department of Statistics, Colorado State University.
1981  1990, Assistant/Associate Professor, Department of Statistics, Colorado State University.
1979  1981, Instructor in Applied Mathematics, Massachusetts Institute of Technology.
Honors:
Alumni Faculty of the Year, 1986, Colorado State University, College of Natural Sciences.
Elected member: International Statistical Institute (1992).
Fellow: Institute of Mathematical Statistics (1995).
Koopmans Econometric Theory Prize (1997) (with William Dunsmuir).
Fellow: American Statistical Association (2002).
Special Appointments:
2011  2013 Villum Kan Rasmussen Visiting Professor, University of
Copenhagen
2009  2012 Hans Fischer Senior Fellow, Institute for Advanced
Study, Technical University of Munich
1995 AprilMay , Visiting Professor, Statistics, Royal Melbourne Institute of Technology.
1995 FebApril, Visiting Professor, Statistics, University of New South Wales, Sydney.
1989 May, Visiting Research Scholar, Statistics, University of Melbourne.
1987  1988, Visiting Associate Professor, Mathematics, U. of California, San Diego.
1984(Spring), Visiting Research Assistant Professor, Center for Stochastic Processes, U. North Carolina
Editorial positions and Professional Service:
Presidentelect, Institute of Mathematical Statistics,
July 2014  July 2017.
EditorinChief, Bernoulli Journal, 20102012.
Associate editor, Stochastic Processes and Their
Applications, Jan `93  Jan `96, Mar `08  Jan `10
Associate Editor, Annals of Applied Probability Jan `94  Jan `00
Associate Editor, J. Statistical Planning and Inference Jan `95  Jan `01
Statistics Editor, Proceedings of the American Mathematics Society Feb `00  present
Associate Editor, Extremes Jan `07  present
Associate Editor, Bernoulli Jan `07  `10
EditorinChief, Bernoulli Jan `10  Dec `12
Editor, Statistical Science Jan `08  Dec `10
Advisory Editor, Journal of Time Seris Analysis Jan `13 
present
Associate Editor, Journal of Business and Economic
Statistics Jan `13  present
Associate Editor, Communications for Statistical Applications
Jan `13  present
Contracts, Grants and Fellowships:
National Science Foundation, 19812006.
Environmental Protection Agency (STARProgram), Applying Spatial and
Temporal Models of Statistical Surveys to Aquatic Resources
(CoPIs: Davis and Urquhart), 20012005, Colorado State University, Statistics Department.
National Science Foundation IGERT Grant, Program for
Interdisciplinary Mathematics, Ecology, and Statistics (PRIMES)
(R. Davis, PI; D. Estep, T. Hobbs, R. Miranda, coPIs) 20032008,
Colorado State University.
2003 IBM Faculty Award
National Science Foundation, NSF DMS0743459 and 0744058.
Collaborative Research: Applied Probability and Time Series
Modeling. (PI with P. J. Brockwell at CSU), 2007–2011, Statistics
Departments at Columbia University and Colorado State University.
National Science Foundation, NSF DMS1107031 and 1106814.
Collaborative Research: Applied Probability and Time
Series Modeling. (PI with P. J. Brockwell at Columbia and Hernando
Ombao at Brown University), 2011–2014, Statistics Department at
Columbia University and Biostatistics Department at Brown University.
Army Research Office MURI Grant (W911NF1210385)
Multivariate Heavy Tail Phenomena: Modeling and Diagnostics (PI: S.
Resnick(Cornell); coPIs: R. Davis (Columbia), W. Gong and D. Towsley
(UMass), J. Nolan (American U), G. Samorodnitsky and L. Tong
(Cornell), N. Shroff (Ohio State), R. Srikant (Illinois) ) August 16,
2012—August 15, 2015.
Selected Publications:
(1991) Time Series: Theory and Methods, 2nd edition (with P.J. Brockwell)
SpringerVerlag, NY.
(1996) GaussNewton and MEstimation for ARMA PRocesses with Infinite Variance, Stoch. Process Appl. 63 , 7595.
(1996) Maximum likelihood estimation for MA(1) processes with a root on or near the unit circle (with W.T.M Dunsmuir). Econometric Theory 12 129.
(1998) The sample ACF of heavytailed stationary processes with applications to ARCH (with Thomas Mikosch). Annals of Statistics 26 522536.
(2001) Least absolute deviation estimation for allpass time series models (with F.J. Breidt and A. Trindade} Annals of Statistics
29 919946.
(2001) A characterization of multivariate regular variation (with Bojan Basrak and Thomas Mikosch). (To appear in Annals of Applied Probability.)
(2002) Introduction to Time Series and Forecasting, 2nd edition (with P.J. Brockwell)
SpringerVerlag, NY.
Davis, R.A., Lee, T., and RodriguezYam, G. (2006). Structural
Break Estimation for Nonstationary Time Series Models.
J. American Statist. Assoc. 101, 229239.
pdf
file
Andrews, Beth, Davis, R.A., and Breidt, F. Jay (2007). Rank
Estimation for AllPass Time Series Models. Annals
of Statistics 35 .
pdf
file
Davis, R.A. and Yau, CY (2013). Consistency of Minimum Description
Length Model Selection for Piecewise Stationary Time Series Models.
(To appear in Electronic Journal of Statistics.)
Andrews, B. and Davis, R.A. (2013). Model Identification for Infinite
Variance Autoregressive Processes.
Annals of J. of Econometrics 172, 222234.
Davis, R.A., and Song, L. (2012). Functional Convergence of Stochastic
Integrals with Application to Statistical Inference.
Stochastic Processes and Their Applications 122(issue
3),
725757.
Davis, R.A., and Song, L. (2011). Unit Roots in Moving Averages Beyond
First Order.
Annals of Statistics 39,, 30623091.
Davis, R.A, Mikosch, T. and Cribben, I. (2012).
Towards Estimating Extremal Serial Dependence via the Bootstrapped
Extremogram.
J. of Econometrics 170, 142152.

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