Stilian Stoev

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

Code for Simulation and Estimation in Various Stochastic Models

Long Range Dependence

  • LASS: Local Analysis of Self-Similarity - a collection for the estimation of the Hurst long-range dependence parameter as a function of "time". Tailored and intendend for the analysis of Internet traffic data.
    Note: This code has not been updated recently.

  • FFT-sim: FFT-based tools for the efficient simulation of LFSM and FARIMA with stable innovations.

  • ffgn.m: An routine for exact and efficient simulation of fGn (fractional Gaussian noise) time series. Hence, exact discretized paths of fBm -- fractional Brownian motion -- can be generated. The code uses circulant embedding and is written jointly with Yingchun Zhou (Jasmine), zhouyc@math.bu.edu.

  • Hest: Wavelet based tools for the estimation of the Hurst LRD parameter H.

    Extremes

  • max spectrum: An estimator for the heavy tail exponent of a distribution based on scaling of block-maxima. Incorporates a method for the automated selection of the extreme cut-off.
    Note: Main routine maxss_3.m.

  • extremal index: An estimator for the extremal index based on the max spectrum and resampling.
    Note: Main routine max_eind_1.m.