Statistics and Probability
My main research interests include theory and applications of stable, geometric stable, and other heavy-tail random variables and stochastic processes. A stable variable has the property of stability: the sum of n copies of X has the same type of distribution as X. More general notions of stability include cases when the number of variables n is itself a random variable and/or or when the variables are combined by operations other than adding. A heavy-tail random variable is one that has a non-negligible probability of resulting in a value relatively far from the center of the distribution. I have worked on applications of stable and related distributions in actuarial science, economics, financial mathematics, as well as other areas. My other research interests include computational statistics, characterizations of probability distributions, and stochastic simulation.
My research interests include probability, statistics, stochastic modeling and interdisciplinary work. In particular, I study the limit theory for random and deterministic sums of random quantities and estimation for heavy tailed distributions. Stochastic modeling and interdisciplinary work cover finance and insurance, hydrology and water resources, atmospheric science and climate, environmental science and biostatistics. Current research projects include statistical estimation for heavy tailed hydrology data, climate and hydrological extremes in the US, and clean water issues in Nevada and California.
My research focuses on theoretical and applied statistical analysis of complex (non-linear) dynamical systems, with emphasis on spatio-temporal pattern formation and development of extreme events. Specifically, I work on multiscale methods of time series analysis, heavy-tailed random processes, and spatial statistics. This choice is predicated by the essential common properties of the observed complex systems: they tend to evolve in multiple spatio-temporal scales; and have observables that exhibit absence of characteristic size, long-range correlations in space-time, and not-negligible probability of assuming extremely large values. The underlying methods of analysis include those of hierarchical aggregation and its inverse – branching processes.
Examples of the observed systems relevant to my research include the Earth's lithosphere which generates destructive earthquakes, its atmosphere that produces El-Ninos, stock-markets subject to financial crashes, etc. My current applications and ongoing collaborations are in Solid Earth geophysics (seismology, geodynamics), climate dynamics, computational finance, biology, and hydrology.