Assistant Professor Department of Statistics University of Michigan
439 West Hall, 1085 South University Ann Arbor, MI 48109-1107, U.S.A. Office: (734)763-9294, Fax: (734) 763-4676. Email: sstoev_at_umich_dot_edu
Research
My research interests are in applied probability and statistics: time series analysis, long-range dependent and
heavy-tailed models, stable processes, max-stable processes and their applications to
Internet traffic, computer science and finance.
Recent projects
(2007) On the ergodicity and mixing of max-stable processes. Technical Report 461,
Department of Statistics, University of Michigan: PDF.
(2007) Extremal limit theorems for observations separated by random waiting times
(jointly with Mark M. Meerschaert) PDF Preprint.
(2006) Norm, point, and distance estimation over multiple signals using max--stable distributions
(with Marios Hadjieleftheriou, George Kollios and Murad S. Taqqu). To appear in the Proceedings of the 23rd International
Conference on Data Engineering (ICDE '07), Istanbul, Turkey, April 2007. Acceptance rate: 18.5%.
PDF.
(2006) On the estimation of the heavy-tail exponent in time series using the max-spectrum
(with George Michailidis). Technical Report 447,
Department of Statistics, University of Michigan: PDF.
(2006) Estimating heavy-tail exponents through max self-similarity
(with George Michailidis and Murad S. Taqqu). Technical Report 445,
Department of Statistics, University of Michigan: PDF.
(2006) Extremal stochastic integrals: a parallel between max-stable and alpha-stable
processes (with Murad S. Taqqu) in Extremes8, 237-266.
(2006) Max-stable sketches: estimation of Lp-norms, dominance norms and point queries
for non-negative signals (with Murad S. Taqqu). Technical Report 433,
Department of Statistics, University of Michigan: PDF.
Talks and presentations
On the ergodicity and mixing of max-stable processes ISI Lisbon, Portugal (Special Topics Contributed Papers Meeting)
slides | EVA 2007, Bern, Switzerland slides
Matlab/Octave movie illustrating a
2D max-stable field ergodic in one dimension and non-ergodic in the other.
On the estimation of the heavy-tail exponent in time series using the max-spectrum (joint work with George Michailidis)
JSM 2007, Salt Lake City, Utah
slides
Two applications of max-stable distributions: random sketches and heavy-tail exponent estimation (joint work with
Marios Hadjieleftheriou, George Kollios, George Michailidis and Murad S. Taqqu) Boston University Probability Seminar, 2007
slides.
Estimating heavy-tail exponents through max self-similarity (joint work with George Michailidis and Murad S. Taqqu)
Michigan State University, Probability and Statistics Colloquium, 2006 slides.
Extremal stochastic integrals: a parallel between max-stable and alpha-stable processes (joint work with Murad S. Taqqu)
University of Michigan, Summer Probability Seminar, 2006 slides.
Max-stable random sketches: estimation of distances, norms and dominance norms (joint work with Murad S. Taqqu) University
of Michigan, Theoretical Computer Science Seminar, 2005 slides
Courses
Fall 2007 STATS 520: Mathematical Methods in Statistics:
Course web page.
Winter 2007 STATS 412: Introduction to Probability and Statistics
Fall 2006 STATS 520: Mathematical Methods in Statistics
Winter 2006 STATS 711: Topics of Theoretical Statistics II: Long-range dependence, self-similarity, and heavy tails
Fall 2005 STATS 412: Introduction to Probability and Statistics
More
For more on my research and free MATLAB/Octave code for simulation of fractional Gaussian noise, FARIMA
and LFSM visit my old page
http://math.bu.edu/people/sstoev.
