Richard A. Davis
Department of Statistics
Short Vita

Howard Levene Professor of Statistics
Chair, Department of Statistics
Department of Statistics
Columbia University
New York, NY 10027
212-851-2131
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, Co-director 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 April-May , Visiting Professor, Statistics, Royal Melbourne Institute of Technology.
  • 1995 Feb-April, 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:

  • President-elect, Institute of Mathematical Statistics, July 2014 - July 2017.
  • Editor-in-Chief, Bernoulli Journal, 2010-2012.
  • 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
  • Editor-in-Chief, 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, 1981-2006.
  • Environmental Protection Agency (STAR-Program), Applying Spatial and Temporal Models of Statistical Surveys to Aquatic Resources (Co-PIs: Davis and Urquhart), 2001-2005, 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, co-PIs) 2003-2008, Colorado State University.
  • 2003 IBM Faculty Award
  • National Science Foundation, NSF DMS-0743459 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 DMS-1107031 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 (W911NF-12-1-0385) Multivariate Heavy Tail Phenomena: Modeling and Diagnostics (PI: S. Resnick(Cornell); co-PIs: 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) Springer-Verlag, NY.
  • (1996) Gauss-Newton and M-Estimation for ARMA PRocesses with Infinite Variance, Stoch. Process Appl. 63 , 75-95.
  • (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 1-29.
  • (1998) The sample ACF of heavy-tailed stationary processes with applications to ARCH (with Thomas Mikosch). Annals of Statistics 26 522-536.
  • (2001) Least absolute deviation estimation for all-pass time series models (with F.J. Breidt and A. Trindade} Annals of Statistics 29 919-946.
  • (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) Springer-Verlag, NY.
  • Davis, R.A., Lee, T., and Rodriguez-Yam, G. (2006). Structural Break Estimation for Nonstationary Time Series Models. J. American Statist. Assoc. 101, 229-239. pdf file
  • Andrews, Beth, Davis, R.A., and Breidt, F. Jay (2007). Rank Estimation for All-Pass Time Series Models. Annals of Statistics 35 . pdf file
  • Davis, R.A. and Yau, C-Y (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, 222-234.
  • 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), 725-757.
  • Davis, R.A., and Song, L. (2011). Unit Roots in Moving Averages Beyond First Order. Annals of Statistics 39,, 3062-3091.
  • Davis, R.A, Mikosch, T. and Cribben, I. (2012). Towards Estimating Extremal Serial Dependence via the Bootstrapped Extremogram. J. of Econometrics 170, 142-152.
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