← All authors Richard A. Davis Columbia University (from arXiv:2107.06663, 2021) · ORCID · OpenAlex
66 papers in scope · 66 published · 1 on the econ.EM arXiv · 7,619 citations · h-index 32 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Ziyu Jiang Serena Ng Christis Katsouris Jushan Bai Matteo Barigozzi Yuan Liao Jungjun Choi Markus Pelger Pentti Saikkonen Mika Meitz Ming Yuan Ruey S. Tsay Zhaoxing Gao Yuling Yan Philipp Gersing Junting Duan Bernd Funovits Jianqing Fan Alex Maynard Nina Kuriyama Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (1 of 66)
Remarks on Testing Goodness of Fit in AR(p) Models Using the Half-Sample Device
published 2026 · Journal of Statistical Theory and Practice
with Harry H. Xi
Simultaneous Detection of Structural Breaks and Outliers in Time Series
published 2025 · Journal of Time Series Analysis · 1 citations
with Thomas C. M. Lee, Gabriel A. Rodriguez-Yam
Mathematics, Statistics, and Geometry of Extreme Events in High Dimensions
published 2025 · Oberwolfach Reports
with Rafał Kulik, Anne Sabourin, Stilian Stoev
Discrete Extremes
published 2024 · Journal of Data Science · 6 citations · first circulated 2017
with Adrien S. Hitz, Gennady Samorodnitsky
published 2022 · Journal of Econometrics · 25 citations · first circulated 2021
Handling missing extremes in tail estimation
published 2021 · Extremes · 2 citations
with Hui Xu, Gennady Samorodnitsky
Indirect inference for time series using the empirical characteristic function and control variates
published 2021 · Journal of Time Series Analysis · 1 citations
with Thiago do Rêgo Sousa, Claudia Klüppelberg
Heavy-tailed distributions, correlations, kurtosis and Taylor’s Law of fluctuation scaling
published 2020 · Proceedings of the Royal Society A Mathematical Physical and Engineering Sciences · 29 citations
with Joel E. Cohen, Gennady Samorodnitsky
Goodness-of-fit testing for time series models via distance covariance
published 2020 · Journal of Econometrics · 10 citations
with Phyllis Wan
Stochastic differential equations with a fractionally filtered delay: A semimartingale model for long-range dependent processes
published 2020 · Bernoulli · 2 citations · first circulated 2018
Modeling of time series using random forests: Theoretical developments
published 2020 · Electronic Journal of Statistics · 4 citations
Are extreme value estimation methods useful for network data?
published 2019 · Extremes · 29 citations · first circulated 2017
with Phyllis Wan, Tiandong Wang, Sidney I. Resnick
EXTREME VALUE ANALYSIS WITHOUT THE LARGEST VALUES: WHAT CAN BE DONE?
published 2019 · Probability in the Engineering and Informational Sciences · 5 citations · first circulated 2017
with Jingjing Zou, Gennady Samorodnitsky
Fitting the linear preferential attachment model
published 2017 · Electronic Journal of Statistics · 39 citations
with Phyllis Wan, Tiandong Wang, Sidney I. Resnick
On consistency of minimum description length model selection for piecewise autoregressions
published 2016 · Journal of Econometrics · 9 citations
with Stacey A. Hancock, Yi-Ching Yao
The Mathematics and Statistics of Quantitative Risk Management
published 2016 · Oberwolfach Reports · 3 citations · first circulated 2009
Nonstandard regular variation of in-degree and out-degree in the preferential attachment model
published 2016 · Journal of Applied Probability · 52 citations · first circulated 2014
with Gennady Samorodnitsky, Sidney I. Resnick, Don Towsley, Amy D. Willis, Phyllis Wan
Asymptotic theory for the sample covariance matrix of a heavy-tailed multivariate time series
published 2015 · Stochastic Processes and their Applications · 21 citations · first circulated 2014
Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails
published 2013 · Stochastic Processes and their Applications · 28 citations · first circulated 2011
with Oliver Pfaffel, Robert Stelzer
Measures of serial extremal dependence and their estimation
published 2013 · Stochastic Processes and their Applications · 57 citations
Consistency of minimum description length model selection for piecewise stationary time series models
published 2013 · Electronic Journal of Statistics · 32 citations
with Chun Yip Yau
Extreme Value Analysis of Multivariate High-Frequency Wind Speed Data
published 2013 · Journal of Statistical Theory and Practice · 12 citations
with Christina Steinkohl, Claudia Klüppelberg
Likelihood inference for discriminating between long‐memory and change‐point models
published 2012 · Journal of Time Series Analysis · 17 citations
with Chun Yip Yau
Towards estimating extremal serial dependence via the bootstrapped extremogram
published 2012 · Journal of Econometrics · 65 citations · first circulated 2009
Unit roots in moving averages beyond first order
published 2011 · The Annals of Statistics · 11 citations
with Li Song
Functional convergence of stochastic integrals with application to statistical inference
published 2011 · Stochastic Processes and their Applications · 4 citations
with Li Song
Inference for regression models with errors from a non‐invertible MA(1) process
published 2010 · Journal of Forecasting · 3 citations
with Mei-Ching Chen, Li Song
The pairwise beta distribution: A flexible parametric multivariate model for extremes
published 2010 · Journal of Multivariate Analysis · 67 citations
with Daniel Cooley, Philippe Naveau
Least absolute deviation estimation for general autoregressive moving average time-series models
published 2010 · Journal of Time Series Analysis · 29 citations
with Rongning Wu
Autoregressive processes with data‐driven regime switching
published 2009 · Journal of Time Series Analysis · 9 citations
with Joseph Tadjuidje Kamgaing, Hernando Ombao
A negative binomial model for time series of counts
published 2009 · Biometrika · 143 citations
with R. Wu
A Conversation with Murray Rosenblatt
published 2009 · Statistical Science · 5 citations
with David R. Brillinger
Break Detection for a Class of Nonlinear Time Series Models
published 2008 · Journal of Time Series Analysis · 97 citations
with Thomas C. M. Lee, Gabriel A. Rodriguez-Yam
Structural breaks estimation for non-stationary time series signals
published 2005 · IEEE/SP 13th Workshop on Statistical Signal Processing, 2005 · 17 citations
with Thomas C. M. Lee, Gabriel A. Rodriguez-Yam
Asymptotic properties of some subset vector autoregressive process estimators
published 2003 · Journal of Multivariate Analysis · 4 citations
with Peter J. Brockwell, A. Alexandre Trindade
A characterization of multivariate regular variation
published 2002 · The Annals of Applied Probability · 193 citations · first circulated 2000
Regular variation of GARCH processes
published 2002 · Stochastic Processes and their Applications · 382 citations
Least absolute deviation estimation for all-pass time series models
published 2001 · The Annals of Statistics · 82 citations
with F. Jay Breidt, A. Alexandre Trindade
Point process convergence of stochastic volatility processes with application to sample autocorrelation
published 2001 · Journal of Applied Probability · 42 citations
The sample ACF of a simple bilinear process
published 1999 · Stochastic Processes and their Applications · 33 citations
The Maximum of the Periodogram of a Non-Gaussian Sequence
published 1999 · The Annals of Probability · 40 citations
The sample autocorrelations of heavy-tailed processes with applications to ARCH
published 1998 · The Annals of Statistics · 245 citations
Introduction to Time Series and Forecasting.
published 1998 · Biometrics · 3839 citations · first circulated 1996
with Peter J. Brockwell
Gaussian likelihood-based inference for non-invertible MA(1) processes with SαS noise11This research supported in part by NSF DMS Grant No. DMS-9504596.
published 1998 · Stochastic Processes and their Applications · 6 citations
Extremes of stochastic volatility models
published 1998 · The Annals of Applied Probability · 48 citations
Least Absolute Deviation Estimation for Regression with ARMA Errors
published 1997 · Journal of Theoretical Probability · 85 citations
with William T. M. Dunsmuir
Limit theory for bilinear processes with heavy-tailed noise
published 1996 · The Annals of Applied Probability · 116 citations
with Sidney I. Resnick
Gauss-Newton and M-estimation for ARMA processes with infinite variance
published 1996 · Stochastic Processes and their Applications · 62 citations
Maximum Likelihood Estimation for MA(1) Processes with a Root on or near the Unit Circle
published 1996 · Econometric Theory · 68 citations
with William T. M. Dunsmuir
On Surface Temperature, Greenhouse Gases, and Aerosols: Models and Observations
published 1995 · Journal of Climate · 165 citations
with J. F. B. Mitchell, William Ingram, C. A. Senior
Testing for a Change in the Parameter Values and Order of an Autoregressive Model
published 1995 · The Annals of Statistics · 148 citations
with Dawei Huang, Yi-Ching Yao
On permissible correlations for locally correlated stationary processes
published 1995 · Statistics & Probability Letters · 2 citations
with Rafe Donahue, Peter J. Brockwell
Crossings of max-stable processes
published 1994 · Journal of Applied Probability
with Sidney I. Resnick
Prediction of Stationary Max-Stable Processes
published 1993 · The Annals of Applied Probability · 55 citations
with Sidney I. Resnick
M-estimation for autoregressions with infinite variance
published 1992 · Stochastic Processes and their Applications · 235 citations
with Keith Knight, Jian Liu
Extremes of Moving Averages of Random Variables with Finite Endpoint
published 1991 · The Annals of Probability · 41 citations
with Sidney I. Resnick
Basic properties and prediction of max-ARMA processes
published 1989 · Advances in Applied Probability · 124 citations
with Sidney I. Resnick
Parameter estimation in low order fractionally differenced ARMA processes
published 1989 · Stochastic Environmental Research and Risk Assessment · 29 citations
with Duane C. Boes, Sat Gupta
Estimation for first-order autoregressive processes with positive or bounded innovations
published 1989 · Stochastic Processes and their Applications · 48 citations
with William P. McCormick
Extremes of moving averages of random variables from the domain of attraction of the double exponential distribution
published 1988 · Stochastic Processes and their Applications · 85 citations
with Sidney I. Resnick
Limit Theory for the Sample Covariance and Correlation Functions of Moving Averages
published 1986 · The Annals of Statistics · 306 citations · first circulated 1985
with Sidney I. Resnick
Tail Estimates Motivated by Extreme Value Theory
published 1984 · The Annals of Statistics · 163 citations
with Sidney I. Resnick
Limit laws for upper and lower extremes from stationary mixing sequences
published 1983 · Journal of Multivariate Analysis · 12 citations
Stable Limits for Partial Sums of Dependent Random Variables
published 1983 · The Annals of Probability · 82 citations
Extremes in autoregressive processes with uniform marginal distributions
published 1982 · Statistics & Probability Letters · 28 citations
with Michael R. Chernick
The rate of convergence in distribution of the maxima
published 1982 · Statistica Neerlandica · 17 citations
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
Built from arXiv and OpenAlex. Supported by UKRI grant APP47921 (Martin Weidner, UCL · Francis J. DiTraglia, Oxford).