selected publications academicarticle 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 (JCGS). 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. 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. 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. 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. Tsay, R. S., & Pourahmadi, M. (2017). Modelling structured correlation matrices. Biometrika. 104(1), 237-242. 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. 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. 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. Pedeli, X., Fokianos, K., & Pourahmadi, M. (2015). Two Cholesky-log-GARCH models for multivariate volatilities. Statistical Modelling: An International Journal. 15(3), 233-255. 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. 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. 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. 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. 26(3), 369-387. 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. Wu, W. B., & Pourahmadi, M. (2009). BANDING SAMPLE AUTOCOVARIANCE MATRICES OF STATIONARY PROCESSES. STATISTICA SINICA. 19(4), 1755-1768. 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. Daniels, M. J., & Pourahmadi, M. (2009). Modeling Covariance Matrices via Partial Autocorrelations. Journal of Multivariate Analysis. 100(10), 2352-2363. 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. 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. 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. Daniels, M. J., & Pourahmadi, M. (2002). Bayesian analysis of covariance matrices and dynamic models for longitudinal data. Biometrika. 89(3), 553-566. Parzen, E. (2002). Foundations of Time Series Analysis and Prediction Theory. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION. 97(460), 1207-1207. 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. 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. Lin, T. C., Pourahmadi, M., & Schick, A. (1999). Regression Models with Time Series Errors. Journal of Time Series Analysis. 20(4), 425-433. 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. 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 the London Mathematical Society. s2-38(1), 133-145. 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 Part B: 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. book 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. 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.
principal investigator on Equilibrium in Multivariate Nonstationary Time Series awarded by National Science Foundation - (Arlington, Virginia, United States) 2016 - 2020 Sparse Graphical Models for Multivariate Time series awarded by National Science Foundation - (Arlington, Virginia, United States) 2013 - 2015
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
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.
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
mailing address Texas A&M University Department Of Statistics 3143 TAMU College Station, TX 77843-3143 USA