HR job title
- Professor
- Contact Info
- 1 979 845 3164
Pourahmadi, Mohsen Professor
Positions
- Professor, Statistics, College of Arts and Sciences
Time Series Analysis and Prediction Theory, Multivariate Statistics and Longitudinal Data Analysis, High-Dimensional Data Analysis, Financial Data and Stochastic Volatility Models.
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- Research
- Teaching
- Works By Students
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Overview
Publications
selected publications
-
academic article
-
Kundu, A., & Pourahmadi, M.
(2023).
MLE of Jointly Constrained Mean-Covariance of Multivariate Normal Distributions. 85(1), 1-32.
-
Kundu, A., & Pourahmadi, M.
(2023).
Bayesian estimation of constrained mean-covariance of normal distributions. Statistics and Probability Letters.
194, 109745-109745.
-
Ghosh, R. P., Maity, A. K., Pourahmadi, M., & Mallick, B. K.
(2023).
Adaptive Bayesian variable clustering via structural learning of breast cancer data. Genetic Epidemiology.
47(1), 95-104.
-
Dallakyan, A., & Pourahmadi, M.
(2023).
Fused-Lasso Regularized Cholesky Factors of Large Nonstationary Covariance Matrices of Replicated Time Series. Journal of Computational and Graphical Statistics.
32(1), 157-170.
-
Dallakyan, A., Kim, R., & Pourahmadi, M.
(2022).
Time series graphical lasso and sparse VAR estimation. Computational Statistics and Data Analysis.
176, 107557-107557.
-
Ghosh, R. P., Mallick, B., & Pourahmadi, M.
(2021).
Bayesian Estimation of Correlation Matrices of Longitudinal Data. Bayesian Analysis.
16(3), 1039-1058.
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Sundararajan, R. R., Pipiras, V., & Pourahmadi, M.
(2021).
Stationary subspace analysis of nonstationary covariance processes: Eigenstructure description and testing. Bernoulli: a journal of mathematical statistics and probability.
27(1), 381-418.
-
Binder, K. E., Pourahmadi, M., & Mjelde, J. W.
(2020).
The role of temporal dependence in factor selection and forecasting oil prices. Empirical Economics.
58(3), 1185-1223.
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Kang, X., Deng, X., Tsui, K., & Pourahmadi, M.
(2020).
On variable ordination of modified Cholesky decomposition for estimating time-varying covariance matrices. International Statistical Review.
88(3), 616-641.
-
Sundararajan, R. R., & Pourahmadi, M.
(2018).
Nonparametric change point detection in multivariate piecewise stationary time series. Journal of Nonparametric Statistics.
30(4), 926-956.
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Taormina, R., Galelli, S., Tippenhauer, N. O., Salomons, E., Ostfeld, A., Eliades, D. G., ... Ohar, Z.
(2018).
Battle of the Attack Detection Algorithms: Disclosing Cyber Attacks on Water Distribution Networks. 144(8), 04018048.
-
Inoue, A., Kasahara, Y., & Pourahmadi, M.
(2018).
Baxter's inequality for finite predictor coefficients of multivariate long-memory stationary processes. Bernoulli: a journal of mathematical statistics and probability.
24(2), 1202-1232.
-
Sundararajan, R. R., & Pourahmadi, M.
(2018).
Stationary subspace analysis of nonstationary processes. Journal of Time Series Analysis.
39(3), 338-355.
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Tsay, R. S., & Pourahmadi, M.
(2017).
Modelling structured correlation matrices. Biometrika.
104(1), 237-242.
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Sundararajan, R. R., Palma, M. A., & Pourahmadi, M.
(2017).
Reducing Brain Signal Noise in the Prediction of Economic Choices: A Case Study in Neuroeconomics. Frontiers in Neuroscience.
11(DEC), 704.
-
Deb, S., Pourahmadi, M., & Wu, W. B.
(2017).
An asymptotic theory for spectral analysis of random fields. Electronic Journal of Statistics.
11(2), 4297-4322.
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Pourahmadi, M.
(2016).
Time Series Modelling with Unobserved Components, by Matteo M. Pelagatti. Published by CRC Press, 2015, pages: 257. ISBN13: 9781482225006. Journal of Time Series Analysis.
37(4), 575-576.
-
Kasahara, Y., Inoue, A., & Pourahmadi, M.
(2016).
Rigidity for Matrix-Valued Hardy Functions. Integral Equations and Operator Theory.
84(2), 289-300.
-
Kohli, P., Garcia, T. P., & Pourahmadi, M.
(2016).
Modeling the Cholesky factors of covariance matrices of multivariate longitudinal data. Journal of Multivariate Analysis.
145(C), 87-100.
-
Pourahmadi, M., & Noorbaloochi, S.
(2016).
Multivariate time series analysis of neuroscience data: some challenges and opportunities. Current Opinion in Neurobiology.
37, 12-15.
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Inoue, A., Kasahara, Y., & Pourahmadi, M.
(2016).
THE INTERSECTION OF PAST AND FUTURE FOR MULTIVARIATE STATIONARY PROCESSES. Proceedings of the American Mathematical Society.
144(4), 1779-1786.
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Pedeli, X., Fokianos, K., & Pourahmadi, M.
(2015).
Two Cholesky-log-GARCH models for multivariate volatilities. Statistical Modelling: An International Journal.
15(3), 233-255.
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Pourahmadi, M., & Wang, X.
(2015).
Distribution of random correlation matrices: Hyperspherical parameterization of the Cholesky factor. Statistics and Probability Letters.
106(C), 5-12.
-
Chen, L., Pourahmadi, M., & Maadooliat, M.
(2014).
Regularized multivariate regression models with skew-t error distributions. Journal of Statistical Planning and Inference.
149, 125-139.
-
Kohli, P., & Pourahmadi, M.
(2014).
Some prediction problems for stationary random fields with quarter-plane past. Journal of Multivariate Analysis.
127(C), 112-125.
-
Li, E., & Pourahmadi, M.
(2013).
An alternative REML estimation of covariance matrices in linear mixed models. Statistics and Probability Letters.
83(4), 1071-1077.
-
Al-Rawwash, M., & Pourahmadi, M.
(2013).
Gaussian estimation of regression and correlation parameters in longitudinal data. Journal- Association of Arab Universities for Basic and Applied Sciences.
13(1), 28-34.
-
Maadooliat, M., Pourahmadi, M., & Huang, J. Z.
(2013).
Robust estimation of the correlation matrix of longitudinal data. 23(1), 17-28.
-
Dellaportas, P., & Pourahmadi, M.
(2012).
Cholesky-GARCH models with applications to finance. 22(4), 849-855.
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Huang, J. Z., Chen, M., Maadooliat, M., & Pourahmadi, M.
(2012).
A cautionary note on generalized linear models for covariance of unbalanced longitudinal data. Journal of Statistical Planning and Inference.
142(3), 743-751.
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Ye, F., Garcia, T. P., Pourahmadi, M., & Lord, D.
(2012).
Extension of Negative Binomial GARCH Model Analyzing Effects of Gasoline Price and Miles Traveled on Fatal Crashes Involving Intoxicated Drivers in Texas. Transportation Research Record.
2279(2279), 31-39.
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Garcia, T. P., Kohli, P., & Pourahmadi, M.
(2012).
Regressograms and Mean-Covariance Models for Incomplete Longitudinal Data. American Statistician.
66(2), 85-91.
-
Pourahmadi, M.
(2011).
Covariance Estimation: The GLM and Regularization Perspectives. Statistical Science: a review journal.
26(3), 369-387.
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Pourahmadi, M., & Davis, R. A.
(2010).
Special Issue in Honor of Emanuel Parzen on the Occasion of his 80th Birthday and Retirement from the Department of Statistics, Texas A&M University Preface. Journal of Statistical Planning and Inference.
140(12), 3578-3579.
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Wu, W. B., & Pourahmadi, M.
(2009).
BANDING SAMPLE AUTOCOVARIANCE MATRICES OF STATIONARY PROCESSES. STATISTICA SINICA.
19(4), 1755-1768.
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Kasahara, Y., Pourahmadi, M., & Inoue, A.
(2009).
Duals of random vectors and processes with applications to prediction problems with missing values. Statistics and Probability Letters.
79(14), 1637-1646.
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Daniels, M. J., & Pourahmadi, M.
(2009).
Modeling Covariance Matrices via Partial Autocorrelations. Journal of Multivariate Analysis.
100(10), 2352-2363.
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Pourahmadi, M.
(2007).
Cholesky Decompositions and Estimation of A Covariance Matrix: Orthogonality of Variance Correlation Parameters. 94(4), 1006-1013.
-
Pourahmadi, M., Inoue, A., & Kasahara, Y.
(2007).
A prediction problem in L 2 ( w ) L^2 (w). Proceedings of the American Mathematical Society.
135(4), 1233-1239.
-
Pourahmadi, M., Daniels, M. J., & Park, T.
(2007).
Simultaneous modelling of the Cholesky decomposition of several covariance matrices. Journal of Multivariate Analysis.
98(3), 568-587.
-
Pourahmadi, M.
(2007).
Skew-Normal ARMA Models with Nonlinear Heteroscedastic Predictors. Communications in Statistics: Theory and Methods.
36(9), 1803-1819.
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Huang, J. Z., Liu, N. P., Pourahmadi, M., & Liu, L. X.
(2006).
Covariance matrix selection and estimation via penalised normal likelihood. Biometrika.
93(1), 85-98.
-
Al-Rawwash, M., & Pourahmadi, M.
(2006).
Gaussian estimation and joint modeling of dispersions and correlations in longitudinal data. Computer Methods and Programs in Biomedicine.
82(2), 106-113.
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Wu, W. B.
(2003).
Nonparametric estimation of large covariance matrices of longitudinal data. Biometrika.
90(4), 831-844.
-
Cheng, R., Miamee, A. G., & Pourahmadi, M.
(2003).
On the geometry of Lp() with applications to infinite variance processes. Journal of the Australian Mathematical Society.
74(1), 35-42.
-
Tarami, B., & Pourahmadi, M.
(2003).
Multivariate t Autoregressions: Innovations, Prediction Variances and Exact Likelihood Equations. Journal of Time Series Analysis.
24(6), 739-754.
-
Pourahmadi, M.
(2002).
Graphical Diagnostics for Modeling Unstructured Covariance Matrices. International Statistical Review.
70(3), 395-417.
-
Pourahmadi, M., & Daniels, M. J.
(2002).
Dynamic conditionally linear mixed models for longitudinal data. Biometrics.
58(1), 225-231.
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Daniels, M. J., & Pourahmadi, M.
(2002).
Bayesian analysis of covariance matrices and dynamic models for longitudinal data. Biometrika.
89(3), 553-566.
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Parzen, E.
(2002).
Foundations of Time Series Analysis and Prediction Theory. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION.
97(460), 1207-1207.
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Pourahmadi, M., & Soofi, E. S.
(2000).
Prediction Variance and Information Worth of Observations in Time Series. Journal of Time Series Analysis.
21(4), 413-434.
-
Pourahmadi, M.
(2000).
Maximum likelihood estimation of generalised linear models for multivariate normal covariance matrix. Biometrika.
87(2), 425-435.
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Cheng, R., Miamee, A. G., & Pourahmadi, M.
(2000).
Regularity and Minimality of Infinite Variance Processes. Journal of Theoretical Probability.
13(4), 1115-1122.
-
Pourahmadi, M.
(1999).
Joint mean-covariance models with applications to longitudinal data: unconstrained parameterisation. Biometrika.
86(3), 677-690.
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Lin, T. C., Pourahmadi, M., & Schick, A.
(1999).
Regression Models with Time Series Errors. Journal of Time Series Analysis.
20(4), 425-433.
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Lin, T. C., & Pourahmadi, M.
(1998).
Nonparametric and nonlinear models and data mining in time series: a casestudy on the Canadian lynx data. Journal of the Royal Statistical Society Series C (Applied Statistics).
47(2), 187-201.
-
Cheng, R., & Pourahmadi, M.
(1997).
Prediction with incomplete past and interpolation of missing values. Statistics and Probability Letters.
33(4), 341-346.
-
Mohanty, R., & Pourahmadi, M.
(1996).
Estimation of the Generalized Prediction Error Variance of a Multiple Time Series. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION.
91(433), 294-299.
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Pourahmadi, M.
(1994).
Canonical correlation and reduction of multiple time series. Annals of the Institute of Statistical Mathematics.
46(4), 625-631.
-
Cheng, R., & Pourahmadi, M.
(1993).
Baxter's inequality and convergence of finite predictors of multivariate stochastic processess. Probability Theory and Related Fields.
95(1), 115-124.
-
Pourahmadi, M.
(1993).
On relations between prediction error covariance of univariate and multivariate processes. Statistics and Probability Letters.
16(5), 355-359.
-
Cheng, R., & Pourahmadi, M.
(1993).
The mixing rate of a stationary multivariate process. Journal of Theoretical Probability.
6(3), 603-617.
-
Pourahmadi, M.
(1992).
Alternating projections and interpolation of stationary processes. Journal of Applied Probability.
29(4), 921-931.
-
Pourahmadi, M., & Miamee, A. G.
(1992).
COMPUTATION OF CANONICAL CORRELATION BETWEEN PAST AND FUTURE OF A TIME SERIES. Journal of Time Series Analysis.
13(4), 345-351.
-
Pourahmadi, M.
(1989).
ESTIMATION AND INTERPOLATION OF MISSING VALUES OF A STATIONARY TIME SERIES. Journal of Time Series Analysis.
10(2), 149-169.
-
Pourahmadi, M.
(1989).
On the convergence of finite linear predictors of stationary processes. Journal of Multivariate Analysis.
30(2), 167-180.
-
Pourahmadi, M.
(1988).
Autoregressive representations of multivariate stationary stochastic processes. Probability Theory and Related Fields.
80(2), 315-322.
-
Miamee, A. G., & Pourahmadi, M.
(1988).
Best Approximations in Lp (d ) and Prediction Problems of Szeg, Kolmogorov, Yaglom, and Nakazi. Journal of London Mathematical Society.
s2-38(1), 133-145.
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Arnold, B. C., & Pourahmadi, M.
(1988).
Conditional characterizations of multivariate distributions. Metrika: international journal for theoretical and applied statistics.
35(1), 99-108.
-
Pourahmadi, M.
(1988).
Remarks on extreme eigenvalues of Toeplitz matrices. International Journal of Mathematics and Mathematical Sciences.
11(1), 23-26.
-
POURAHMADI, M.
(1988).
STATIONARITY OF THE SOLUTION OF Xt= AtXt1+t AND ANALYSIS OF NONGAUSSIAN DEPENDENT RANDOM VARIABLES. Journal of Time Series Analysis.
9(3), 225-239.
-
Miamee, A. G., & Pourahmadi, M.
(1988).
Wold decomposition, prediction and parameterization of stationary processes with infinite variance. Probability Theory and Related Fields.
79(1), 145-164.
-
Pourahmadi, M.
(1987).
Some sampling properties of empirical characteristic functions viewed as harmonizable stochastic processes. Journal of Statistical Planning and Inference.
17(C), 345-359.
-
Pourahmadi, M.
(1986).
ON STATIONARITY OF THE SOLUTION OF A DOUBLY STOCHASTIC MODEL. Journal of Time Series Analysis.
7(2), 123-131.
-
Pourahmadi, M.
(1985).
A matricial extension of the Helson-Szeg theorem and its application in multivariate prediction. Journal of Multivariate Analysis.
16(2), 265-275.
-
Pourahmadi, M.
(1984).
On Minimality and Interpolation of Harmonizable Stable Processes. SIAM Journal on Applied Mathematics.
44(5), 1023-1030.
-
Pourahmadi, M.
(1984).
On the Mean Convergence of the Best Linear Interpolator of Multivariate Stationary Stochastic Processes. Annals of Probability.
12(2), 609-614.
-
Hua, T. A., & Pourahmadi, M.
(1984).
Tables of cumulative distribution functions and percentiles of the standardized stable random variables. Communications in Statistics: Simulation and Computation.
13(5), 571-601.
-
Pourahmadi, M.
(1984).
The Helson-Sarason-Szeg theorem and the Abel summability of the series for the predictor. Proceedings of the American Mathematical Society.
91(2), 306-308.
-
Pourahmadi, M.
(1983).
A sampling theorem for multivariate stationary processes. Journal of Multivariate Analysis.
13(1), 177-186.
-
Pourahmadi, M.
(1983).
Exact factorization of the spectral density ann its application to wrf,castiilg and time series analysis. Communications in Statistics: Theory and Methods.
12(18), 2085-2094.
-
Kundu, A., & Pourahmadi, M.
(2023).
MLE of Jointly Constrained Mean-Covariance of Multivariate Normal Distributions. 85(1), 1-32.
-
book
-
Pourahmadi, M.
(2013).
High-Dimensional Covariance Estimation With High-Dimensional Data. JOhn Wiley & Sons.
-
Pourahmadi, M.
(2013).
High-Dimensional Covariance Estimation With High-Dimensional Data. JOhn Wiley & Sons.
-
chapter
-
Kohli, P., & Pourahmadi, M.
(2012).
Nonparametric estimation of the innovation variance and judging the fit of ARMA models. Economic Time Series: Modeling and Seasonality.
(pp. 459-476).
-
Pourahmadi, M., & Wu, W. B.
(2008).
Inference for Stationary Processes Using Banded Covariance Matrices. Dabo-Niang, S., & Ferraty, F. (Eds.),
Functional and Operatorial Statistics.
(pp. 255-261).
Springer Nature.
-
Kohli, P., & Pourahmadi, M.
(2012).
Nonparametric estimation of the innovation variance and judging the fit of ARMA models. Economic Time Series: Modeling and Seasonality.
(pp. 459-476).
-
conference paper
-
Aghashahi, M., Sundararajan, R., Pourahmadi, M., & Banks, M. K.
(2017).
Water Distribution Systems Analysis Symposium-Battle of the Attack Detection Algorithms (BATADAL). 101-108.
-
Aghashahi, M., Sundararajan, R., Pourahmadi, M., & Banks, M. K.
(2017).
Water Distribution Systems Analysis Symposium-Battle of the Attack Detection Algorithms (BATADAL). 101-108.
Research
principal investigator on
Teaching
teaching activities
- STAT212 Prin Of Statistics Ii Instructor
- STAT408 Intro To Linear Models Instructor
- STAT626 Meth Time Series Analy Instructor
- STAT674 Time Series Anlys Ii Instructor
- STAT685 Directed Studies Instructor
- STAT689 Sptp:large-scale Inf & Cov Est Instructor
- STAT691 Research Instructor
Works By Students
chaired theses and dissertations
-
Chen, Lianfu (2012-02). Topics on Regularization of Parameters in Multivariate Linear Regression.
-
Kohli, Priya (2012-10). Prediction and Estimation of Random Fields.
-
Sun, Ranye (2014-03). Thresholding Multivariate Regression and Generalized Principal Components.
Background
education and training
- Ph.D. in Statistics, Michigan State University - (East Lansing, Michigan, United States) 1980
- M.S. in Statistics, Michigan State University - (East Lansing, Michigan, United States) 1977
awards and honors
- Visiting Scholar, Department of Mathematics, conferred by Hiroshima University - (Hiroshima, Japan), 2012
- Visiting Scholar, Department of Statistics, conferred by Pontifical Catholic University of Chile - (Santiago, Region Metropolitana de Santiago, Chile), 2011
- Visiting Scholar, Melbourne Business School, conferred by University of Melbourne - (Melbourne, Victoria, Australia), 2009
- ASA Fellows, conferred by American Statistical Association - (Alexandria, Virginia, United States), 2007
- Visiting Scholar, Department of Math, conferred by Hokkaido University - (Sapporo, Hokkaido, Japan), 2005
- Visiting Scholar, Department of Mathematics and Statistics, conferred by Kuwait University - (Kuwait City, Kuwait), 2004
Contact
first name
- Mohsen
has last name
- Pourahmadi
mailing address
-
Texas A&M University
Department Of Statistics
3143 TAMU
College Station, TX 77843-3143
USA
Other
- pourahm@tamu.edu