Richard is the Howard Levene Professor of Statistics at Columbia University in New York City. He has strong overlapping research interests, especially as it relates to extreme value theory, with Holger Rootzén, Professor at Chalmers. Although they first met over 35 years ago, Richard had read many of Holger’s research papers as a graduate student in San Diego. Holger’s research on extreme values eventually evolved into a book (joint with Leadbetter and Lindgren) in 1983, which became an instant classic in the field. As it turned out, Richard wrote a major review of the book that appeared in the Journal of the American Statistical Association. Unfortunately, due to their busy schedules and other commitments, they have never had the possibility to work on a joint research project. With this extraordinary opportunity, they hope to change this and are planting the seeds of what is hoped to be an extended and fruitful research collaboration.
Richard’s main research areas are in time series and extreme value theory. He has been interested in developing tools and methodology, backed by rigorous theory, that are useful in a wide range of applications from environmental sciences to financial and economic data. He has been particularly interested in estimating structural breaks in time series, modelling heavy-tailed time series, and understanding extremal dependence. His planned work with Holger on extremes is oriented towards developing tools – a toolbox if you will, that are useful in a wide range of applications as to just a dedicated application.
Topics in Time Series course
Some of Richard’s time while at Chalmers is devoted to delivering the course “Topics in Time Series: Old to New” for masters and PhD students from Chalmers and the University of Gothenburg. In the course, he relates the early development of time series focused on linear models that still owns the core of the field, to more recent innovations that focus on nonlinear and nonGaussian modelling.
Gothenburg is undoubtedly a lot smaller than New York. Compared to the frenetic, but exhilarating, pace of New York, Richard is enjoying the more peaceful and relaxed lifestyle of Gothenburg. He recently finished a six year term as chair of the Statistics Department at Columbia University and with all the administrative chores this brings, he jokingly says he has “run away”. In about a month he will be back, but the Jubilee Professorship has given him a welcome block of uninterrupted time to focus on research and to interact with students in his class.
Text: Setta Aspström and Richard A. Davis
Photo: Setta Aspström
Picture: by a former PhD student to Richard A. Davis.