Vladas Pipiras

Dept. of Statistics & OR, UNC-CH
Hanes Hall, CB#3260
Chapel Hill, NC 27599
Phone: 919 843-2430
Fax: 919 962-0391
Email: pipiras at email dot unc dot edu

Education

Ph.D. (2002), Department of Mathematics and Statistics, Boston University
D.E.A. (1997), Laboratoire de Probabilites et Modeles Aleatoires, University of Paris 6, France
B.Sc. (1996), Department of Mathematics and Informatics, Vilnius University, Lithuania

Appointments

2012 - present: Professor, Department of Statistics and OR, UNC-Chapel Hill
2010 - present: Director, Mathematical Decision Sciences, UNC-Chapel Hill
2007 - 2012: Associate Professor, Department of Statistics and OR, UNC-Chapel Hill
2002 - 2007: Assistant Professor, Department of Statistics and OR, UNC-Chapel Hill
2008 - 2010: Ciencia 2007 Researcher, Center of Mathematics and Its Applications, Instituto Superior Tecnico, Portugal

Research Interests

Scaling phenomena:
Long-range dependence, self-similarity, fractional Brownian motion
Heavy tails, extreme-value theory, stable distributions
Models and inference for multifractals

Other problems in Probability and Statistics:
Reduced-rank inference
Inverse problems, sampling algorithms
High-dimensional time series

Teaching

Stor 155: Introduction to Statistics, Fall 2014.
Stor 435: Introduction to Probability Theory, Spring 2015.
Stor 754: Time Series and Multivariate Analysis, Spring 2015.

Courses taught in the past
Ideas for undergraduate probability course

DataFest 2013: Poster
DataFest 2014: Poster

PhD Students

Gustavo Didier (2007)
Changryong Baek (2010)
Ritwik Chaudhuri (2014)
Stefanos Kechagias (current)
Dylan Glotzer (current)

Research

Books:

  • "A Basic Course in Measure and Probability: Theory for Applications" (with S. Cambanis and M. R. Leadbetter). Cambridge University Press, 2014. Contents
  • "Long-Range Dependence and Self-Similarity" (with M. S. Taqqu). Cambridge University Press, Forthcoming in 2015. Contents (as of November 15, 2013). Introductory chapter

    Selected publications:

  • "Integration questions related to fractional Brownian motion" (with M. S. Taqqu). Probability Theory and Related Fields 118 (2000) 251-291.
  • "The structure of self-similar stable mixed moving averages" (with M. S. Taqqu). The Annals of Probability 30 (2002) 898-932.
  • "Wavelet-based simulation of fractional Brownian motion revisited". Applied and Computational Harmonic Analysis 19(1) (2005) 49-60.
  • "Gaussian stationary processes: adaptive wavelet decompositions, discrete approximations and their convergence" (with G. Didier). Journal of Fourier Analysis and Applications 14 (2008) 203-234.
  • "Multifractal random walks as fractional Wiener integrals" (with P. Abry, P. Chainais and L. Coutin). IEEE Transactions on Information Theory 55 (2009) 3825-3846.
  • "Second order properties of distribution tails and estimation of tail exponents in random difference equations" (with C. Baek, H. Wendt and P. Abry). Extremes 12 (2009) 361-400.
  • "Synthesis of multivariate stationary series with prescribed marginal distributions and covariance using circulant matrix embedding" (with H. Helgason and P. Abry). Signal Processing 91 (2011) 1741-1758.
  • "Integral representations and properties of operator fractional Brownian motions" (with G. Didier). Bernoulli 17 (2011) 1-33.
  • "Local and global rank tests for multivariate varying-coefficient models" (with S. Donald and N. Fortuna). Journal of Business and Economic Statistics 29 (2011) 295-306.
  • "Probabilistic sampling of finite renewal processes" (with N. Antunes). Bernoulli 17 (2011) 1285-1326.
  • "Statistical tests for a single change in mean against long-range dependence" (with C. Baek). Journal of Time Series Analysis 33 (2012) 131151.
  • "Long-range dependence of the two-dimensional Ising model at critical temperature" (with M. S. Taqqu). Chapter 18 (42 pages) in Benoit Mandelbrot: A Life in Many Dimensions, World Scientific Publishing Company (2014), edited by M. Frame and N. Cohen.

    All published or accepted research papers

    Working papers

    Recent talks and posters

    Some Matlab code

    Conference on long-range dependence, self-similarity and heavy tails, April 2012
    Meeting on multifractal analysis: from theory to applications and back, February 2014

    Current editorial work: REVSTAT

    Other

    Full CV

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    Last modified: 11/15/14