Research Interests

Wavelet methods in Probability and Statistics, Time Series Analysis with emphasis on long range dependence, Stochastic processes, Multivariate methods, Applications in simulation (of processes), Internet traffic and Finance

Publications and Working Papers

1. ¡°On the Behrens-Fisher problem: a globally convergent algorithm and a finite-sample study of the Wald, LR and LM Tests¡±, with Alexandre Belloni. Preprint.

2. ¡°Adaptive Wavelet Decompositions of Stationary Time Series¡±, with Vladas Pipiras (2006). Preprint.
[click here for the slides on Adaptive Wavelet Decompositions presented at the 69th Annual Meeting of the IMS, Rio de Janeiro, Brazil]
[click here for the poster on Adaptive Wavelet Decompositions presented at the Graybill 2006 conference, Fort Collins, CO]

3. ¡°Gaussian Stationary Processes: Discrete Approximations, Adaptive Wavelet Decompositions and Simulation'', with Vladas Pipiras (2006). Preprint.
 [click here for the slides on this paper presented in the SPA 2005 conference, Santa Barbara, CA]

4. ¡°Real and Effective Exchange Rates with Double-Weighing Scheme for Brazilian Manufactured Products¡±, with Jorge C. Batista. Boletim de Conjuntura, v.20, n.3, p.59 ¨C 66. Rio de Janeiro, Brazil (2001).

5. ¡°The Geography of Brazilian Competition Patterns and the Effects of Changes in Relative Prices on Brazilian Exports¡±. M.S. thesis, Federal University of Rio de Janeiro. Advisor: Jorge C. Batista. Rio de Janeiro, Brazil (2000).

Work in Preparation

6. ¡°Operator fractional Brownian motion¡±, with Vladas Pipiras.

7. ¡°On multivariate long memory'', with Vladas Pipiras. 

8. ¡°Multivariate adaptive wavelet decompositions¡±, with Vladas Pipiras.