Richard A. Davis
Department of Statistics

Invited Lectures and Seminars (since 1995)

Apr. 24, 2007. College of Natural Sciences, Professor Laureate Lecture: The Dynamics of Change: Volatility and Where to Find It.

Apr 5, 2007. Clemson/University of Georgia Joint Seminar Lecture at Clemson: Heavy Tails and Financial Time Series Models.

Apr 4, 2007. Distinguished Lecturer in the Mathematical Sciences, Clemson University: Structural Break Detection in Time Series Models.

Jan 22, 2007. Department of Statistics, University of Chicago: Another Look at Estimation for MA(1) Processes with a Unit Root.

Nov 20-24, 2006. Oberwolfach-Seminar, "Dependence and Tail Modelling with Applications to Finance, Insurance, Teletraffic, and Climate," Oberwolfach, Germany. Holger Drees, Thomas Mikosch, and Richard A. Davis, organizers and lecturers.

Nov 9, 2006. Workshop on Statistical Modelling in Insurance and Finance, Catholic University of Rio de Janeiro, University of Rio de Janeiro, Brazil: Structural Break Detection in Time Series Models.

Nov 6-7, 2006. Workshop on Statistical Modelling in Insurance and Finance, Universidade de Sao Paulo, Sao Paulo, Brazil: Structural Break Detection in Time Series Models.

Nov 6-7, 2006. Workshop on Statistical Modelling in Insurance and Finance, Universidade de Sao Paulo, Sao Paulo, Brazil: Heavy Tails and Financial Time Series Models.

Oct 18-20, 2006. Time Series Analysis Course for the European Central Bank, Frankfurt, Germany. (18 hours of lectures).

Sep 15, 2006. National Center for Atmospheric Research, Institute for Mathematics Applied to Geosciences: Structural Break Detection for a Class of Time Series Models.

Sep 1-4, 2006. International Conference on Statistics, Combinatorics, and Related Areas, Tomar, Portugal, Plenary speaker: Structural Break Detection for a Class of Time Series Models.

Aug 21-25, 2006. Prague Stochastics 2006, Prague, The Czech Republic: Another Look at Estimation for MA(1) Processes with a Unit Root.

June 27-30, 2006. IMS Western Regional Meeting, Flagstaff, Arizona: Structural Break Detection for a Class of Nonlinear Time Series Models.

June 24-29, 2006. BIRS Workshop ``Statistics at the Frontiers of Science,'' Banff International Research Station, Banff, Canada: Structural Break Detection in Time Series Models.

June 8-9, 2006. Extremes in Action: ``Symposium for Georg Lindgren''. Lund, Sweden: Extremes of Space-Time Processes with Heavy Tails.

May 1, 2006. Department of Statistics, Columbia University, New York: Structural Break Detection in Time Series Models.

Apr 27, 2006. Department of Statistics, University of California, Davis: Structural Break Detection in Time Series Models.

Jan 23-25, 2006. Waseda Workshop on Time Series Analysis and Its Related Topics, Waseda University, Tokyo, Japan: Laplace Likelihood and LAD Estimation for Non-invertible MA(1).

Dec 12-14, 2005. Statistics and Probability Conference in Memory of Ching-Zong Wei, Academia Sinica, Taipei. Structural Break Detection in Time Series Models.

Dec 2-4, 2005. International Conference on Statistics, Combinatorics, Mathematics, and Applications, Auburn University, Auburn, Alabama. Structural Break Detection in Time Series Models.

Nov 9, 2005. Charles University, Prague, Czech Republic. Structural Break Detection in Time Series Models.

Sep 22-24, 2005. NSF/NBER Workshop in Time Series, Heidelberg, Germany. Laplace Likelihood and LAD Estimation for Non-invertible MA(1).

Sep 20-21, 2005. Nonlinear and Nonstationary Time Series Workshop, Kaiserslautern, Germany. Structural Break Detection in Time Series Models.

Sep 7-9, 2005. Fourth Annual Conference Statistics for Aquatic Resources, Corvallis, Oregon. Structural Break Detection in Time Series Models.

Jul 17-20, 2005. IEEE Workshop on Signal Processing, Bordeaux, France. Poster: Structural Break Estimation for NonStationary Time Series Signals.

Jul 6-8, 2005. 13th INFORMS Applied Probability Conference, Ottawa, Canada. Structural Break Estimation in Time Series Models.

May 21-22, 2005. CIRANO-CIREQ Financial Econometrics Conference, University of Montreal, Montreal, Canada. Structural Break Estimation in Time Series Models.

Apr 22-24, 2005. Workshop on Heavy Tails and Long Range Dependence, Cornell University. Heavy Tails and Financial Time Series Models.

Mar 25, 2005. Inaugural Alaska Consortium for Environmental Statistics (ACES), University of Alaska, Fairbanks, Alaska. Thoughts on Model Selection.

Mar 24, 2005. Public Lecture Sponsored by Alaska Consortium for Environmental Statistics, Fairbanks, Alaska. Financial Time Series, Nobel Prize, and Ecology.

Oct 25-27, 2004. INFORMS Annual Meeting 2004, Denver, Colorado Regular Variation and Financial Time Series Models.

Oct 21, 2004. Mathematics Colloquium, Washington University, St. Louis. Structural Break Detection in Time Series Models.

Oct 8, 2004. Mini-course, sponsored by the Department of Statistics, University of Lisbon, Lisbon, Portugal.

Lecture 1: Regular Variation and Financial Time Series Models.

Lecture 2: Structural Break Detection in Time Series Models.

Oct 5, 2004. Department of Mathematical Statistics, Lund University, Lund Sweden. Structural Break Detection in Time Series Models.

Oct 1, 2004. MaPhySto Workshop on "Nonlinear Time Series Modeling" sponsored by the Danish National Research Foundation Network in Mathematical Physics and Stochastics, Copenhagen, Denmark: Extreme Value Theory for Space-Time Processes with Heavy-Tailed Distributions.

Sept 27-30, 2004. MaPhySto concentrated advance course on "Nonlinear Time Series Modeling" sponsored by the Danish National Research Foundation Network in Mathematical Physics and Stochastics, Copenhagen, Denmark: Homepage for course.

Lectures for Part I: Introduction to Linear and Nonlinear Time Series (4 Lectures)

Lectures for Part II: Time Series Models in Finance (4 Lectures)

Lectures for Part III: Nonlinear and NonGaussian State-Space Models (3 Lectures)

Lectures for Part IV: Structural Break Estimation in Time Series Models (2 Lectures)

July 19-23, 2004. Third International Symposium on Extreme Value Theory: Theory and Practice. Aveiro, Portugal: Extreme Value Theory for Space-Time Processes with Heavy-Tailed Distributions.

July 12-16, 2004. Australian Statistics Conference and the International Biometrics Conference, Cairns, Australia. (Keynote address) Model Selection for Geostatistical Models.

June 9-12, 2004. International Workshop on Recent Developments in Time Series, Protaras, Cyprus. (Keynote address) Structural Break Detection in Time Series.

June 9-12, 2004. International Workshop on Recent Advances in Time Series Analysis, Protaras, Cyprus. (Keynote address) Parameter- and Observation-Driven State Space Models.

May 19-22, 2004. Second Lehmann Symposium, Rice university, Houston, Texas. Regular Variation and Financial Time Series Models.

Mar 31, 2004. Department of Statistical Science, Cornell University. Estimation for a Class of State-Space Models with Application to Structural Break Detection.

Mar 22 - 25, 2004. International Workshop on Applied Probability Piraeus, Greece. Estimation for a Class of Generalized State-Space Models.

Feb 28, 2004. International Symposium on Financial Time Series, Tokyo, Japan. Estimation for a Class of State-Space Models.

Dec 4, 2003. Statistics in Ecology Workshop, Jackson Hole, Wyoming. Model Selection for Geostatistical Models. (Talk given by Jennifer Hoeting).

Nov 12, 2003. University of Wollongong, Wollongong, Australia, R-Estimation for All-Pass Time Series Models.

Oct 15, 2003. Department of Statistics, University of Copenhagen: Estimation for State-Space Models: an Approximate Likelihood Approach.

Oct 2-5, 2003. International Conference on Statistics, Combinatorics, and Related Areas, Portland, Maine, Plenary speaker: Estimation for Parameter-Driven State-Space Models.

Sept 19-20, 2003. NSF/NBER Workshop in Time Series, University of Chicago, Estimation for State-Space Models: an Approximate Likelihood Approach.

Sept 3, 2003. Department of Statistics, University of New South Wales, Estimation for State-Space Models: an Approximate Likelihood Approach.

June 9, 2003. PRIMES Workshop on Data Model Fusion, Colorado State University. Introduction to Time Series Analysis and Time Series Laboratory.

Nov 14, 2002. Joint Mathematics and Statistics Distinguished Lecture Series, University of Wyoming: Estimation for Nonlinear State-Space Models.

Oct 30, 2002. Statistics Colloquium, University of Connecticut: Applications of the Innovations Algorithm to Nonlinear State-Space Models.

Oct 29, 2002. IBM Watson Research Center: Applications of the Innovations Algorithm to Nonlinear State-Space Models.

Sept 2 - 3, 2002. Academy Colloquium Masterclass, Royal Netherlands Academy of Arts and Sciences, Amsterdam, Netherlands: The Innovations Algorithm and Parameter Driven Models.

Aug 29 - 31, 2002. Academy Colloquium, "State Space and Unobserved Components Models in Honour of James Durbin", Royal Netherlands Academy of Arts and Sciences, Amsterdam, Netherlands: Observation Driven Models for Time Series of Counts.

Aug 11 - 15, 2002. Joint Statistics Meetings, New York City: Observation Driven Models for Time Series of Counts.

July 15 - 19, 2002. International Conference on Current Advances and Trends in Nonparametrics, Crete, Greece: Maximum Likelihood and R-Estimation for All-Pass Time Series Models.

June 14 - 16, 2002. Fourth Biennial International Conference on Statistics, Probability and Related Areas, Northern Illinois University: Maximum Likelihood Estimation for All-Pass Time Series Models.

Mar 19 - 22, 2002. German Open Conference on Probability and Statistics, Magdeburg, Germany: Maximum Likelihood Estimation for All-Pass Time Series Models.

Jan 14 - 17, 2002. International Workshop on Applied Probability (plenary speaker) Caracas, Venezuela: Applications of Multivariate Regular Variation and Point Processes to Financial Time Series.

Nov 12 - 16, 2001. IMA Workshop: Time Series Analysis and Applications to Geophysical Systems, Minneapolis, MN: Maximum Likelihood Estimation for All-Pass Models.

Oct 29 - Nov 2, 2001. Oberwolfach Conference on stable laws and processs, Oberwolfach, Germany: Limit Theory for Some Non-linear Time Series Models Including GARCH and Stochastic Volatility Models.

September 27, 2001. Mathematics and Statistics Colloquium, Utah State University. Linear Time Series with Nonlinear Behavior.

June 25, 2001. Satellite Meeting of Japan-US Seminar on Time Series, ISM, Tokyo, JAPAN: Modeling Time Series of Counts.

June 18-22, 2001. Japan-US Seminar on Time Series, Kyoto, JAPAN: Limit Theory for Some Nonlinear Time Series Models Including GARCH and Stochastic Volatility Models.

April 20, 2001. Mathematics Colloquium, U. of North Carolina, Charlotte. Sample Autocorelcations Functions for Financial Time Series Models.

Nov 17, 2000. Applied Mathematics Colloquium, U. of Colorado. Multivariate Regular Variation with Application to Financial Time Series Models.

Nov 8, 2000. Econometrics and Statistics Colloquium, sponsored by the Graduate School of Business and the Statistics Department, University of Chicago. Sample Autocorelation Functions for Financial Time Series Models.

September 17--21, 2000. First European Conference on Spatial and Computational Statistics, Ambleside, UK: Modeling Time Series of Counts.

June 15, 2000. Miniconference on Probability and Statistics, University of Groningen, Netherlands: Modeling Time Series of Counts.

May 15--20, 2000. Fifth World Congress of the Bernoulli Society for Probability and Mathematical Statistics, Guanajuato, Mexico: Linear Processes with Nonlinear Behavior.

May 10-12, 2000. Symposium on Inference for Stochastic Processes, Athens, Georgia: Linear Processes with Nonlinear Behavior.

Apr 12, 2000. Econometrics Seminar, Ohio State University. Limit Theory for Some Nonlinear Time Series Models Including GARCH and Stochastic Volatility Models.

Apr 11, 2000. Statistics Colloquium, Ohio State University. Linear Processes with Nonlinear Behavior.

Dec 10, 1999. Workshop on Extreme Values and Financial Risk, Munich University of Technology, Munich, Germany: Linear Time Series Models with Nonlinear Behavior.

Dec. 9, 1999. Demonstration of the ITSM2000 software, Munich University of Technology, Munich, Germany.

Oct 2-6, 1999. Workshop on Extreme Values and Additive Laws, Lisbon(Estoril), Portugal: Linear Time Series Models with Nonlinear Behavior.

Aug 30, 1999. Academia Sinica, Institute of Statistical Science, Taipei, Taiwan. Limit Theory for Some Nonlinear Time Series Models.

Aug 23-25, 1999. NSF/NBER Workshop in Time Series, Academia Sinica, Taipei, Taiwan: Linear Time Series Models with Nonlinear Behavior.

April 26-28, 1999. Workshop on Nonlinear Stochastic Models in Finance, EURANDOM, Eindhoven, The Netherlands:

Apr 22, 1999. University of Groningen, Department of Mathematics: Recent Developments in the Unit Root Problem for Moving Averages.

March 28-31, 1999. IMS Spring Meeting, Atlanta, GA. Session: Invited session on Current Issues in Time Series Analysis:

March 23--27, 1998, Workshop on Time Series sponsored by Centre de Recherches Mathematiques (CRM), Universite de Montreal, Canada. Modeling Time Series of Counts.

Nov 18-19, 1998: Satellite Meeting of of Young Dutch Statisticians and Probabilists, Lunteren, Netherlands (2 Lectures):

Nov 16-18, 1998. Annual Meeting of Dutch Statisticians and Probabilists, Lunteren, Netherlands (2 lectures):

Nov 14, 1998. University of Groningen, Department of Mathematics: Estimation for Nonstandard Time Series Models.

October 12--16, 1998. Econometrics and Financial Time Series Workshop, Newton Institute, Cambridge University, UK. Asymptotic Theory for Some Nonlinear Time Series Models.

August 18--22, 1998, Extreme Value Theory Workshop, Gothenborg, Sweden.

Apr 23, 1998. Colorado State University, Dept of Mathematics: Limit Theory for Nonlinear Time Series Models.

Apr 10, 1998. Colorado School of Mines, Dept of Mathematics: LAD estimation for time series models.

Jan 30, 1998. University of Colorado at Colorado Springs, Dept of Mathematics: LAD estimation for time series models.

Oct. 10--11, 1997, NSF/NBER Workshop in Time Series, Duke University: Recent advances in the unit root problem for MA(1) processes.

Jun 1-3, 1997, Canadian Statistical Society Annual Meeting, New Brunswick, Canada.

May 4-7, 1997, INFORMS Meeting, San Diego, CA.

Feb 1--18, 1997, Oberwolfach Conference on Extremes and Point Processes, Oberwolfach, Germany.Point Process Theory of Bilinear and Stochastic Volatility Models.

Jan 31, 1997. University of Bern, Dept of Statistics: LAD estimation for time series models.

Dec 6, 1996. University of Gothenburg, Dept of Mathematics: Opponent for Nader Tajvidi's PhD thesis defense.

Dec 5, 1996. University of Gothenburg, Dept of Mathematics: LAD estimation for time series models.

Sept 27-29, 1996, First NIU Symposium on Statistical Science, Northern Illinois: Recent Advances in the Unit Root Problem in Time Series.

Aug 23, 1996, Satellite Conference on Heavy Tailed Phenomena, Wroclaw, Poland. Inference for Linear Processes with Stable Noise.

Dec 12, 1995. Cornell University, Dept of ORIE: Inference for MA(1) processes with a root on or near the unit circle.

Dec 2, 1995, Workshop on Stable Distributions, Santa Barbara, CA: Estimation for ARMA models with heavy tailed noise. Inference for Linear Processes with Stable Noise.

Nov 17-18, 1995, NSF/NBER Workshop in Time Series, Harvard University: LAD estimation for time series models.

Oct 30-31, 1995, Workshop on time series, Washington Statistical Society, Washington D.C. (10 hours of lectures).

May 17, 1995. RMIT, Dept of Statistics: LAD Estimation in Time Series.

Mar 17, 1995. U. of Sydney, Dept of Statistics: Inference for MA(1) processes with a root on or near the unit circle.

Mar 24, 1995, Workshop on Time Series, U. New South Wales, Australia: LAD Estimation in Time Series

Courses

Lectures