I received my Ph.D. in statistics from the University of Illinois in 1979, at which time I came to the Department of Statistics at Carnegie Mellon University. Prior to my Ph.D., I earned a B.S. degree from Michigan State University, and an M.S. from the University of Michigan. At CMU, I have collaborated with researchers in civil, mechanical, and electrical engineering on statistical modeling of real-world processes. I have published a number of books and many articles in journals like the “Journal of the American Statistical Association,” “The Annals of Statistics,” “Biometrika,” and others.
I am currently interested in modeling of high-frequency financial data. This area involves probability and statistical theory along with machine learning methods and data management technology.
I have worked on the foundations of inference, theoretical problems in Bayesian inference, and applications in finance and engineering.