Ultima

• The book Dependence, with Applications in Statistics and Econometrics, edited by P. Doukhan, G. Lang, D. Surgailis and G. Teyssière, Lecture Notes in Statistics, Springer (2010) is ready. The list of chapters and contributors is here (PDF file).

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Research Interests

• Time series,
• Long-memory processes, multifractal processes, change-point detection,
• Financial econometrics, volatility modeling,
• Financial markets with interacting agents, financial bubbles,
• Wavelet signal processing,
• Computational statistics.

Publications

• List and Citations on MathSciNet and Google Scholar.

1. Detection of Change-Points in the Spectral Density. With Applications to ECG Data, with Pierre Bertrand and Alain Chamoux. PDF file.
   In Proceedings of the EGC 2009 Conference, Workshop "Fouille de données temporelles et analyse de flux de données" (2009) 3-10.
2. The Increment Ratio Statistic, with Donatas Surgailis and Marijus Vaičiulis. PDF file (Supplementary Material PDF).
   Journal of Multivariate Analysis (2008) vol 99, 510-541. DOI:10.1016/j.jmva.2007.01.014.
3. Detection of Multiple Change-Points in Multivariate Time Series, with Marc Lavielle. PDF file.
   Lithuanian Mathematical Journal (2006) vol 46, 287-306. DOI:10.1007/s10986-006-0028-9
   Détection de Ruptures Multiples dans des Séries Temporelles Multivariées, (French version of this paper) PDF file.
   Lietuvos Matematikos Rinkinys (2006) vol 46, 351-376.
4. Wavelet Analysis of Nonlinear Long-Range Dependent Processes. Applications to Financial Time Series, with Patrice Abry. PDF file.
   In Long-Memory in Economics. G. Teyssière and A. Kirman editors, 173-238, Springer (2007). DOI:10.1007/978-3-540-34625-8_7
5. A LARCH() Vector Valued Process, with Paul Doukhan and Pablo Winant. PDF file.
   In Dependence in Probability and Statistics. Lecture Notes in Statistics. P. Bertail, P. Doukhan and Ph. Soulier editors, vol 187, 245-258, Springer (2006). DOI:10.1007/0-387-36062-X_11
6. Adaptive Detection of Multiple Change-Points in Asset Price Volatility, with Marc Lavielle. PDF file.
   In Long-Memory in Economics. G. Teyssière and A. Kirman editors, 129-156, Springer (2007). DOI:10.1007/978-3-540-34625-8_5
7. Prediction, Orthogonal Polynomials and Toeplitz Matrices: A Fast and Reliable Approximation to the Durbin-Levinson Algorithm, with Djalil Kateb and Abdellatif Seghier.
   In Long-Memory in Economics. G. Teyssière and A. Kirman editors, 239-261, Springer (2007). DOI:10.1007/978-3-540-34625-8_8
8. Testing for Bubbles and Change-Points, with A. Kirman. PDF and PostScript files.
   Journal of Economic Dynamics and Control (2005) vol 29, 765-799. DOI:10.1016/j.jedc.2004.01.005
9. Bootstrap Misspecification Tests for ARCH Based on the Empirical Process of Squared Residuals, with Lajos Horváth and Piotr Kokoszka. PDF and PostScript files.
   Journal of Statistical Computation and Simulation (2004) vol 74, 469-485. DOI:10.1080/0094965031000104314
10. Confidence Intervals for the Autocorrelations of the Squares of GARCH Sequences, with Piotr Kokoszka and Aonan Zhang. PDF file.
    In Computational Science - ICCS 2004. Lecture Notes in Computer Science. M. Bubak et al. editors, vol 3039, 827-834, Springer (2004). DOI:10.1007/b98005
    Presented to the Workshop on Computational Methods in Finance and Insurance, Kraków, Poland, June 2004. Slides.
11. On the Power of R/S-Type Tests under Contiguous and Semi Long-Memory Alternatives, with Liudas Giraitis, Piotr Kokoszka and Remigijus Leipus. PDF and PostScript files.
    Acta Applicandae Mathematicae (2003) vol 78, 285-299. (Special Issue for the 8^th Vilnius Conference on Probability Theory and Mathematical Statistics). DOI:10.1023/A:1025702003631
12. Interaction Models for Common Long-Range Dependence in Asset Price Volatilities. PDF and PostScript files.
    In Processes with Long Range Correlations: Theory and Applications. Lecture Notes in Physics. G. Rangarajan and M. Ding editors, vol 621, 251-269, Springer (2003). DOI:10.1007/3-540-44832-2_14
    Invited lecture to the International Conference on Long-Range Dependent Stochastic Processes and their Applications, Bangalore, India, January 2002.
13. Rescaled Variance and Related Tests for Long Memory in Volatility and Levels, with Liudas Giraitis, Piotr Kokoszka and Remigijus Leipus. PDF file.
    Journal of Econometrics (2003) vol 112, 265-294. DOI:10.1016/S0304-4076(02)00197-5
    See also the Corrigendum to "Rescaled Variance and Related Tests for Long Memory in Volatility and Levels", with Liudas Giraitis, Piotr Kokoszka and Remigijus Leipus. PDF file.
    Journal of Econometrics (2005) vol 126, 571-572. DOI:10.1016/j.jeconom.2004.08.001
14. Bubbles and Long Range Dependence in Asset Prices Volatilities, with A. Kirman. PDF file.
    In Equilibrium, Markets and Dynamics. Essays in Honour of Claus Weddepohl. C.H. Hommes, R. Ramer and C. Withagen editors, 307-327, Springer (2002).
15. Microeconomic Models for Long-Memory in the Volatility of Financial Time Series, with A. Kirman. PDF and PostScript files.
    Studies in Nonlinear Dynamics and Econometrics (2002) vol 5, 281-302.
16. Empirical Process of the Squared Residuals of an ARCH Sequence, with Lajos Horváth and Piotr Kokoszka. PDF and PostScript files.
    The Annals of Statistics (2001) vol 29, 445-469. DOI:10.1214/aos/1009210548
17. Semiparametric Estimation of the Intensity of Long-Memory in Conditional Heteroskedasticity, with Liudas Giraitis, Piotr Kokoszka and Remigijus Leipus. PDF and PostScript files.
    Statistical Inference for Stochastic Processes (2000) vol 3, 113-128. (Special Issue on Limit Theorems and Long-Range Dependence). DOI:10.1023/A:1009951213271
18. Multivariate Long-Memory ARCH Modelling for High Frequency Foreign Exchange Rates (1998). PDF and PostScript files.
    In Proceedings of the Second High Frequency Data in Finance (HFDF-II) Conference, Olsen & Associates, Zurich, April 1998.
19. Matching Process in the Labour Market: An Econometric Study. PDF file.
    Labour Economics (1995) vol 2, 421-435. DOI:10.1016/0927-5371(95)80044-X

Books

• Dependence, with Applications in Statistics and Econometrics, P. Doukhan, G. Lang, D. Surgailis and G. Teyssière editors, Lecture Notes in Statistics, Springer (2010). In press.
  The list of chapters and contributors is here (PDF file).

  ---

• 
  Long-Memory in Economics, G. Teyssière and A. Kirman editors, Springer (2005).
  The table of contents and list of effective contributors is available here.
  DOI:10.1007/978-3-540-34625-8, Mathematical Reviews: MR2263582.
  ISBN (Paperback, since November 2009 at Amazon.com ): 978-3642061547
  ISBN (Hardcover): 978-3-540-22694-9

  ---

Preprints

• Wavelet multifractal analysis of high-frequency financial data, with Patrice Abry (2010).
  Prepared for the Lithuanian Mathematical Journal, Special Issue for the 10^th Vilnius Conference on Probability Theory and Mathematical Statistics, Vilnius, Lithuania.
  Premiminary version presented at the Aarhus University Lunch Seminar, October 2009, Slides.
  The C code for wavelet analysis for irregularly spaced data is included in the MF_BS Matlab Toolbox on wavelet multifractal analysis.
• Wavelet analysis of financial time series. Multifractality and changes in the scaling structure, with Patrice Abry (2009).
  Presented at the Aarhus University Seminar, April 2009, Slides.
• Detecting changes in economic time series using wavelets based spectrum estimation,(2009).
• The Increment Ratio test for unit root under linear observations, with Donatas Surgailis (2010).
  Presented at the Aarhus University workshop on "Cointegration, Fractional Processes, and Long Memory", March 2009.
  The web page for the Increment Ratio statistic is online.
• Détection de ruptures multiples sur des séries chronologiques univariées et multivariées. Application à des données de prix de l'énergie. (2008). (Research report for EDF).
• Long-Range Dependence and Multiple Change-Points in Multivariate Time Series (2007). Slides.
  Invited presentation to the International Conference on Statistical Models for Financial Data II, organized by István Berkes and Lajos Horváth at the Institute of Statistics, Graz University of Technology, Graz, Austria, 23-26 May 2007.
• Bubbles, Non-Stationarity and Double Long Memory (2004).
  Invited presentation to the International Conference on Statistical Models for Financial Data, organized by István Berkes and Lajos Horváth at the Institute of Statistics, Graz University of Technology, Graz, Austria, May 2004.
• Testing for Change-Point in Cyclical and Persistent Long-Memory Processes, with Liudas Giraitis and Peter Robinson (2005).
  Presented to the Séminaire Parisien de Statistiques, Henri Poincaré Institute, November 2005; the University Lille 1, November 2005.
• Change-Point Detection in GARCH Models: Asymptotic and Bootstrap Tests, with Piotr Kokoszka. Slides and PostScript file.
  Presented to the Invited Paper Meeting of the 54^th Session of the International Statistical Institute, August 2003; the Séminaire Parisien de Statistiques, Henri Poincaré Institute, November 2005; the University Lille 1, November 2005; the Univ. Paris 1, May 2005.
  Under revision for the Journal of Business and Economic Statistics.
• Nonlinear and Semiparametric Long-Memory ARCH (2001).
  Presented to the Weierstrass Institute for Applied Analysis and Stochastics, April 1998; the 19^th Rencontres Franco-Belges de Statisticiens, November 1998; Univ. Paris 1, May 2005.
• Modelling Exchange Rates Volatility with Multivariate Long-Memory ARCH Processes (1997). PDF and PostScript files (Old Version).
  Under revision for the Journal of Business and Economic Statistics
  Presented to the Department of Mathematics, Division of Statistics and Probability of the University of Liverpool, May 1997; the Sixth Annual Symposium of the Society for Nonlinear Dynamics and Econometrics, New York, March 1998; the Weierstrass Institute for Applied Analysis and Stochastics, April 1998; the ESRC Econometric Study Group Annual Conference, July 1998; the Econometric Society European Meeting, August 1998.
• Double Long-Memory Financial Time Series (1996).
  Presented to the Econometric Society European Meeting, August 1997; the 28^th Workshop of the Euro Working Group on Financial Modelling, Vilnius, May 2001.
  In 1996, I pioneered the class of double long memory processes with the ARFIMA-FIGARCH; this was my first paper in time series analysis. My 1998 paper on multivariate (trivariate) ARFIMA-FIGARCH, published in the proceedings of the High Frequency Data in Finance-II conference organized by Olsen & Associates (see above in the list of publications) is available here in both PDF and PostScript formats.
  This class of models has been used by other authors. So far, the only serious development is the paper by Giraitis and Surgailis, ARCH-type bilinear models with double long memory, Stochastic Processes and their Applications (2002) vol 100, 275-300. The others papers I have seen are rather empty.

Co-Authors and Collaborators

• Patrice Abry, Jean-Pierre Brun, Liudas Giraitis, Lajos Horváth, Piotr Kokoszka, Marc Lavielle, Remis Leipus, Alfredas Račkauskas, Donatas Surgailis, Marijus Vaičiulis.

Professional Service

Editorial Activities & Committees

• Associate Editor of Statistical Modelling: an International Journal. (Journal website).
• Reviewer for Mathematical Reviews.
• Editorial Advisory Board member of the Open Statistics & Probability Journal (New Journal).
• Board member, and treasurer, of the Banking, Finance and Insurance Committee of the French Statistical Society (Société Française de Statistique).

Conferences & Workshops Organization

• The 25^th November 2008, the Banking, Finance and Insurance Committee of the French Statistical Society (Société Française de Statistique) organized a workshop on change-point and fraud detection. The workshop took place at the Henri Poincaré Institute. The list of invited speakers included Lajos Horváth (University of Utah, Slides), David Hand (Imperial College, Slides), Caroline Hillairet (École Polytechnique, Slides), André Tarrat (Deloitte), Anastasia Garbi (Exodus).
• In June 2008, I organized the StatDep 2008 Conference (Statistics for Dependent Data).

Education

• Habilitation in Applied Mathematics at the University Paris 1 - Panthéon Sorbonne (December 2005).
• Qualified for the position of University Professor in Applied Mathematics (French National University Council, CNU, section 26, February 2006).

Teaching Material

• 2008-2009: PhD lectures, based on the forthcoming book Large Sample Inference for Long Memory Processes by L. Giraitis, H. Koul and D. Surgailis (2010) World Scientific Publishing.
  Additional material not covered in this book: Slides 1.
• 2006-2007: Crest-Ensae, Training for the Research lectures on Long-range dependence and change-points, Applications to univariate and multivariate financial time series,
  The slides (in French) are available here.

Scientific Links

• The Department of Mathematics and Statistics, Utah State University,
• The Department of Mathematics, University of Utah,
• The Institute of Mathematics and Informatics, Vilnius University,
• The Department of Econometric Analysis, Vilnius University,
• The Department of Mathematics, Division of Statistics and Probability at the University of Liverpool.
• The Wavelets resources website.
• The online version of the famous book by Abramowitz and Stegun: the Handbook of Mathematical Functions,
• The Netlib repository of mathematical papers, software packages, libraries, etc.
• A lecture on Fractals, in French, by Benoît Mandelbrot. Another lecture, in English, on the same topic.
• The famous lecture by Jean-Pierre Serre: "How to Write Mathematics Badly",
• Andrei Kolmogorov.
• The Erdös number project (My number is 3).
• The Turing Archives for the history of computing.
• 3-Dimensional mathematical objects, and the more poetic Escher figures.
• Plagiarism.org: This organization provides research institutes and academic places with a database for deterring and detecting plagiarism. Some funny examples from a pair of strange fellows are available here.