I am interested in stochastic processes and time series analysis. In particular, processes with infinite variance, stable distributions. I study their stochastic and statistical properties and develop methods for their computer simulation.
I am also interested in various aspects of the long-range dependence phenomenon. Its modeling in the finite and infinite variance situations and its statistical study. In that context, I have done some work on the estimation of the Hurst long-range dependence parameter by using wavelets.
Statistics 412
M.Sc. Mathematics, University of Sofia, 1998
Ph.D. Mathematics and Statistics, Boston University, 2005
Estimation of the self-similarity parameter in linear fractional stable motion (with Vladas Pipiras and Murad S. Taqqu). (2002) Signal Processing 82 1873-1901
Wavelet estimation of the Hurst parameter in stable processes (with Murad S. Taqqu). (2003) Processes with Long Range Correlations: Theory and Applications, eds. Rangarajan D. & Ding M. Springer Verlag. Lecture notes in Physics no.621, 61-87
Semi-parametric estimation of the long-range dependence parameter: a survey (with Bardet J.M., Lang G., Oppenheim G., Philippe A. & Murad S. Taqqu). (2003) Theory and Applications of Long-range Dependence, eds. Doukhan P., Oppenheim G. & Taqqu M.S. Bikhauser. 579-623
Simulation methods for linear fractional stable motion and FARIMA using the Fast Fourier Transform (with Murad S. Taqqu). (2004) Fractals 21(1) 95-121
LASS: a tool for the local analysis of self-similarity (with Murad S. Taqqu, Cheolwoo Park, George Michailidis & J.S. Marron). (2004) To appear in Computational Statistics and Data Analysis.