Research Interests
Time series modeling, long-range dependence, correlated count data, computational statistics, optimization.

Brief Summary
My research interests lie in the areas of statistical modeling and inference of multi-dimensional time series data. Specifically, I focus on parametric and semi-parametric modeling of time series that exhibit long memory, a feature observed in a plethora of time series data sets, where impact of past values of the series on its future ones dies out slowly with the increasing lag. In contrast to the univariate case, where the notion of long memory is well studied and understood by both practitioners and academics, existing multivariate methodologies come with modeling inadequacies and computational shortcomings that I aim to alleviate in my work.

A second area I focus on, is the analysis of serially correlated, low-valued, and potentially zero-inflated count data which arise in a wide variety of data sets (e.g. weekly product sales, number of rare climate events, daily ER admissions). Ignoring the discrete nature of such series, in lieu of Gaussian dynamics is known to yield sub-optimal inferences. On the other hand, existing count time series models very often struggle to capture a desired marginal distribution and a flexible dependence structure in tandem, while also remaining computationally feasible. My collaborators and I aspire to address these issues both in univariate and in high-dimensional settings.

Papers in Journals
1. “Cyclical long memory: decoupling, dimensionality, and modeling” (with P. Zoubouloglou and V. Pipiras). Stochastic Processes and their Applications, Under Review.
2. “Latent Gaussian count time series” (with Y. Jia, J. Livsey, R.B. Lund and V. Pipiras). Journal of the American Statistical Association, 2021. Preprint.
3. “Modeling bivariate long-range dependence with general phase” (with V. Pipiras). Journal of Time Series Analysis, 2020. Preprint.
4. “Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity” (with C. Baek and V. Pipiras). Journal of Statistical Planning and Inference, 2020. Preprint.
5. “Multivariate integer-valued time series with flexible autocovariances and their application to major hurricane counts” (with J. Livsey, R.B. Lund and V. Pipiras). Annals of Applied Statistics, 2018. Preprint.
6. “Convex optimization and feasible circulant matrix embeddings in synthesis of stationary Gaussian fields” (with H. Helgason and V. Pipiras). Journal of Computational and Graphical Statistics, 2016. Preprint.
7. “Definitions and representations of multivariate long-range dependent time series” (with V. Pipiras). Journal of Time Series Analysis, 2015. Preprint.

Conference Proceedings
1. “Semi-parametric, parametric and possibly sparse models for multivariate long-range dependence” (with C. Baek and V. Pipiras). Proceedings SPIE, 2017. Link.

SAS Papers
1. “Multivariate time series: Recent additions to the VARMAX procedure” (with X. Chen). SAS Global Forum, 2017. pdf.