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Stilian A. Stoev

Associate Professor,
Department of Statistics
University of Michigan, Ann Arbor


We are what we repeatedly do. Excellence, therefore, is not an act, but a habit. -- Aristotle


About

Welcome

You can find out more about my research, publications, teaching, and download some free Matlab, Octave, and R code by clicking on the above tabs.

Contact Information

Mailing Address:
439 W. Hall, 1085 S. University
Ann Arbor, MI 48109-1107, USA

Office: 445C West Hall
Phone: +1.734.763.9294
Email: sstoev.at.umich.edu

Research Interests

Time series, long-range dependence, heavy tails and extremes. Spatial and spatio-temporal models. Applications to Internet traffic modeling, computer science, and finance.

Education

(1999-2005) Ph.D. in Mathematics and Statistics from Boston University with Professor Murad S. Taqqu.

(1994-1998) Master's in Mathematics Sofia University with Professor Dimitar L. Vandev.

(1989-1994) National School for Natural and Mathematical Sciences, "Acad. L. Chakalov", Sofia, Bulgaria: NPMG.

Vita

CV in PDF.

Research

My general research interests are in applied probability and statistics: time series analysis, long-range dependent and heavy-tailed models, self-similarity, stable processes, max-stable processes and their applications to Internet traffic modeling, computer science and finance.

Probability

My most recent work focuses on extreme value theory. I am interested in the represenations, ergodic properties, structure and classification of max-stable processes and random fields. Exciting applications of max-stable processes and random fields arise in many fields where extremes and maxima are of interest.

Statistics and Applications

Internet traffic modeling, streaming data, estimation of the tail exponent and the extremal index. Prediction in max-stable models. Spatial statisitcs and wavelets.

Computing

Efficient simulation of stochstic processes: FARIMA time series, fractional Brownian motion, multifractional Brownian motion, linear fractional stable motions, max-stable processes and random fields. Computational prediction in max-stable random fields.

For more details and free Matlab and R code, click on the Software tab above.

Teaching

Undergraduate Courses

Graduate Courses

Publications

Complete List of Publications

Selected Papers

Recent Preprints

Published Top

[1] S. Stoev, V. Pipiras & M.S. Taqqu (2002) ``Estimation of the self-similarity parameter in linear fractional stable motion''. Signal Processing, {82} (2002), pp 1873-1901.

[2] S. Stoev & M.S. Taqqu (2004) ``Simulation methods for linear fractional stable motion and FARIMA using the Fast Fourier Transform'', Fractals, 12(1) (2004), pp 95-121.

[3] S. Stoev & M.S. Taqqu (2004) ``Stochastic properties of the linear multifractional stable motion'', Advances in Applied Probability, 36 (2004), pp 1085-1115.

[4] S. Stoev & M.S. Taqqu (2005) ``Asymptotic self-similarity and wavelet estimation for long-range dependent FARIMA time series with stable innovations'', Journal of Time Series Analysis, 26(2) (2005), pp 211-249.

[5] S. Stoev & M.S. Taqqu (2005) ``Path properties of the linear multifractional stable motion'', Fractals, 13(2) (2005), pp 157-178.

[6] S. Stoev, M.S. Taqqu, C. Park & J.S. Marron (2005) ``On the wavelet spectrum diagnostic for Hurst parameter estimation in the analysis of Internet traffic'', Computer Networks, 48 (2005), pp 423-445.

[7] S. Stoev & M.S. Taqqu (2005) ``Weak convergence to the tangent process of the linear multifractional stable motion'', PLISKA - Studia Mathematica Bulgarica, 17 (2005), pp 271-294.

[8] S. Stoev & M.S. Taqqu (2006) ``How rich is the class of multifractional Brownian motions?'', Stochastic Processes and Their Applications, 116(2) (2006), pp 200-221.

[9] S. Stoev, M.S. Taqqu, C. Park, G. Michailidis & J.S. Marron (2006) ``LASS: a tool for the local analysis of self-similarity'', Computational Statistics and Data Analysis, 50 (2006), pp 2447-2471.

[10] S. Stoev & M.S. Taqqu (2005) ``Extremal stochastic integrals: a parallel between max-stable processes and &alpha -stable processes'', Extremes, 8 (2005), pp 237-266.

[11] C. Park, F. Godtliebsen, S. Stoev, M.S. Taqqu & J.S. Marron (2007) ``Visualization and inference based on wavelet coefficients SiZer and SiNos''. Journal of Computational and Graphical Statistics , 51 (2007), pp 5994-6012.

[12] S. Stoev & M.S. Taqqu (2007) ``Limit theorems for sums of heavy-tailed terms with random dependent weights''. Methodology and Computing in Applied Probability, 9 (2007), pp 55-87.

[13] S. Stoev & M.S. Taqqu (2007) ``Limit theorems for maxima of heavy-tailed terms with random dependent weights'', PLISKA - Studia Mathematica Bulgarica, 18 (2007), pp 361-378.

[14] P.-L. Conti, L. De Giovanni, S. Stoev & M.S. Taqqu (2008) ``Confidence intervals for the long memory parameter based on wavelets and resampling''. Statistica Sinica, 18(2), pp 559-579.

[15] S. Stoev (2008) ``On the ergodicity and mixing of max-stable processes''. Stochastic Processes and their Applications, 118(9), pp 1679-1705.

[16] M. Meerschaert & S. Stoev (2009) ``Extremal limit theorems for observations separated by random waiting times'', Journal of Statistical Planning and Inference, 139(7) (2009), pp 2175-2188.

[17] Stoev, S. and Michailidis, G. (2009) ``On the estimation of the heavy-tail exponent in time series using the max-spectrum'', Applied Stochastic Models in Business and Industry.

[18] Hamidieh, K, Stoev, S., & Michailidis, G. (2009) ``On the estimation of the extremal index based on scaling and resampling'', Journal of Computational and Graphical Statistics, 18(3) (2009) pp 731-755.

[19] Y. Wang & S. Stoev (2009) ``On the association of sum- and max-stable processes'', Statistics and Probability Letters, 80 (2010) pp 480-488.

[20] Y. Wang & S. Stoev (2010) ``On the structure and representations of max-stable processes'', Advances in Applied Probability, 42(3), pp 855-877.

[21] A. Ruzmaikin, J. Feynman, & S. Stoev (2011), ``Distribution and clustering of fast coronal mass ejections'', Journal of Geophysical Research, 116.

[22] S. Stoev, G. Michailidis & M.S. Taqqu (2011) ``Estimating heavy-tail exponents through max self-similarity'', IEEE Transactions on Information Theory, 57(3), pp 1615-1635.

Preprints and Technical Reports Top

[1] S. Stoev & G. Michailidis (2006) On the estimation of the heavy-tail exponent in time series using the max-spectrum. Department of Statistics, the University of Michigan, Technical Report 447: arXiv | PDF.

[2] S. Stoev & M.S. Taqqu (2006) Max-stable sketches: estimation of L&alpha-norms, dominance norms and point queries for non-negative signals Department of Statistics, the University of Michigan, Technical Report 433: arXiv | PDF.

[3] S. Stoev, G. Michailidis & M.S. Taqqu (2007) Estimating heavy-tail exponents through max self-similarity. Department of Statistics, the University of Michigan, Technical Report 447: arXiv | PDF.

[4] K. Hamidieh, S. Stoev & G. Michailidis (2007) On the estimation of the extremal index based on scaling and resampling, Department of Statistics, the University of Michigan, Technical Report 462: arXiv | PDF.

[5] Y. Wang & S. Stoev (2009) On the Structure and Representations of Max-Stable Processes, Department of Statistics, the University of Michigan, Technical Report 487: arXiv| PDF.

[6] K. Hamidieh, S. Stoev & G. Michailidis (2009) Intensity Based Estimation of Value-at-Risk , submitted to CSDA.

[7] Y. Wang, P. Roy & S. Stoev (2009) Ergodic properties of sum- and max- stable stationary random fields via null and positive group actions, Department of Statistics, the University of Michigan, Technical Report 501: arXiv | PDF.

[8] S. Stoev, G. Michailidis & J. Vaughan (2009) Global Modeling and Prediction of Computer Network Traffic, Department of Statistics, the University of Michigan, Technical Report 490: arXiv | PDF.

[9] A. Ruzmaikin, J. Feynman, and S. Stoev (2010), Distribution and Clustering of Fast Coronal Mass Ejections, submitted to Geophysical Research Letters.

[10] J. Vaughan, S. Stoev, & G. Michailidis (2010), Network-wide Statistical Modeling and Prediction of Computer Traffic, Department of Statistics, the University of Michigan, Technical Report 501: arXiv | PDF.

[11] Y. Wang & S. Stoev (2010) Conditional Sampling for Max-Stable Random Fields, Department of Statistics, the University of Michigan, Technical Report 509: arXiv | PDF | Software.

[12] S. Stoev (2011) Functional Limit Theorems for Maxima in Hölder Spaces, Department of Statistics, the University of Michigan, Technical Report 518: PDF

[13] Y. Wang, S. Stoev & P. Roy (2011) Decomposability for Stable Processes, Department of Statistics, the University of Michigan, Technical Report 520: arXiv | PDF

Book Chapters and Conference Proceedings Top

[1] S. Stoev & M.S. Taqqu (2003) ``Wavelet estimation of the Hurst parameter in stable processes''In: Processes with Long Range Correlations: Theory and Applications, G. Rangarajan and M. Ding editors, Springer Verlag, Berlin, 2003, Lecture Notes in Physics No. 621, pp 61-87.

[2] J.-M. Bardet, G. Lang, G. Oppenheim, A. Philippe, M.S. Taqqu & S. Stoev (2003) ``Semi-parametric estimation of the long-range dependence parameter: A survey''. In: Theory and Applications of Long-range Dependence, P. Doukhan, G. Oppenheim, and M.S. Taqqu, editors, Birkhauser, Boston, 2003, pp 579-623.

[3] S. Stoev, M. Hadjieleftheiou, G. Kollios & M.S. Taqqu (2007) ``Norm, point, and distance estimation over multiple signals using max-stable distributions''. in Proceedings of the 23rd International Conference on Data Engineering ICDE, Istanbul, Turkey, April 2007. Acceptance rate: 18.5%.

[4] S. Stoev (2010) ``Max-Stable Processes: Representations, Ergodic Properties and Statistical Applications''. In: Dependence, with Applications in Statistics and Econometrics, P. Doukhan, G. Lang, D. Surgailis and G. Teyssiere, editors, Springer, New York, Lecture Notes in Statistics.

[5] S. Stoev, G. Michailidis, and J. Vaughan (2010) ``On Global Modeling of Network Traffic'', INFOCOM 2010, The 29th Conference on Computer Communications, San Diego, California, March 2010. Acceptance rate: 17%.

Talks

Recent Presentations

Students

Current

Past

Software

Code for Simulation and Estimation in Various Stochastic Models

Long Range Dependence

Extremes

Personal

Thoughts of others