Welcome!

My name is Stilian Stoev and I am Bulgarian.

I was a graduate student of Professor Murad Taqqu.

This page is outdated

Currently, I am at the Department of Statistics in the University of Michigan. Please visit my new web page http://www.stat.lsa.umich.edu/~sstoev

Old stuff

Below, and in the following links you can find out more about me, my research and other things.

Index

  • Research interests, papers and MATLAB code.

  • A short vitae, teaching and talks.

  • Personal.

  • Contact information

    Research interests

    I am interested in stochastic processes and time series analysis. In particular, processes with infinite variance, stable distributions. I study their stochastic and statistical properties and develop methods for their computer simulation.

    I am also interested in various aspects of the long-range dependence phenomenon. Its modeling in the finite and infinite variance situations and its statistical study. In that context, I have done some work on the estimation of the Hurst long-range dependence parameter by using wavelets.

    Click here for a list of my publications and preprints.

    Free MATLAB and Octave code

    By clicking on the links below you can download the MATLAB or Octave codes I have written for the simulation of processes with long-range dependence. The emphasis in these scripts is on the efficiency of the simulation algorithms. In particular, they can be used to generate very long time series in a reasonably short amount of time.

  • FGN (fractional Gaussian noise): MATLAB version and Octave version. Can be used to generate paths of the FBM ( fractional Brownian motion) by taking cumulative sums.

  • FARIMA (fractional auto-regressive integrated moving average) time series with &alpha -stable innovations: MATLAB version and Octave version. Can be used to generate Gaussian FARIMA time series as well. You might need to download the RSTAB package for generating iid stable variates below.

  • LFSN (linear fractional stable noise): MATLAB version and Octave version. You might need to download the RSTAB package for generating iid stable variates below.

  • RSTAB: MATLAB code for generating independent &alpha -stable variates: MATLAB version and Octave version. This code is courtesy of Professor Dimitar Vandev at the Faculty of Mathematics and Informatics, Sofia University, Bulgaria.

    Contact information

    Stilian Stoev (sstoev at math dot bu dot edu)
    Department of Mathematics and Statistics
    111 Cummington Street
    Boston, MA 02215, U.S.A.

    Visits: 6750

    Last updated: September 16, 2004.