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Mathematical Sciences Institute
Australian National University ACT 0200 Australia
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Professor Chris C. Heyde

Positions Held

  • Professor of Statistics, Australian National University
  • Columbia University, NY. Head, Centre for Financial Mathematics, ANU
  • Director, Center for Applied Probability,Columbia University.

Prizes and Honours

1960 University of Sydney Medal
1972 Aust.-American Educational Foundation Award
1972 Membership of International Statist. Institute
1973 Fellowship of Institute of Math. Statistics
1977 Fellowship of Australian Academy of Science
1981 Honorary Life M'ship, Statist. Soc. of Australia
1988 Pitman Medal, Statistical Society of Australia
1989 Fisher Lecture, International Statist. Institute
1994 Hannan Medal, Australian Academy of Science
1995 Thomas Ranken Lyle Medal, Aust. Acad. Sci.
1998 D.Sc, Honoris Causa, University of Sydney
2003 Membership of the Order of Australia

Principal Professional Memberships

Australian Academy of Science: Elected Fellow, 1977; Member Sectional Committee 1, 1978-82; Chairman 1980-82; Member of Council 1986-93; Vice President 1988-89;Treasurer 1989-93.
International Statistical Institute: Elected 1972, Vice President 1985-87, 1993-95.
Bernoulli Society for Mathematical Statistics and Probability of the ISI: Member of Council 1979-87; President Elect 1983-85; President 1985-87.
Institute of Mathematical Statistics: Elected Fellow 1973; Member of Council 1982-85,1991-94.
Statistical Society of Australia: Society President
1979-81; Elected Honorary Life Member 1981.

Employment

1964 -1965 Assistant Professor, Dept. Statistics, Michigan State University.
1965-1967 Lecturer, Depart. Prob. & and Statistics, University of Sheffield.
1967-1968 Special Lecturer in Charge, Statistical Laboratory, University of Manchester.
1970-1970 Acting Head, Dept. Statistics, ANU.
1972-1973 Visiting Professor, Dept. Statistics, Stanford Univ.
1968-1975 Reader, Dept. Statistics, ANU
1975-1983 CSIRO Division of Math. & Stat., 1975-81; Act. Chief of Division, 1981- 1983.
1983-1986 Professor and Chairman, Department of Statistics, University of Melbourne
1985-1986 Foundation Director, Key Centre for Statistical Science, Melbourne.
1986-1988 Professor and Head, Dept. Statistics & Inst. of Advanced Studies, ANU
1989-1992 Dean, School Math. Sciences, ANU
1992-Prof. of Statistics, Inst. Adv. Studies, ANU.
1993-Prof. of Statistics, Dept. Statistics, & Director, Center for Applied Probability, Columbia Univ., NY.

Research Interests

Stochastic modelling, in particular of risky assets. Time series and associated statistical inference.

Principal Research Grants

Joint Universities Key Centre for Statistical Science (Melbourne, Monash, LaTrobe and RMIT Universities) (1985-1988) (Australian Government c. $500,000) (CCH CI and Foundation Director).
NSF General Infrastructure Grant to Center for Applied Probability at Columbia University (1997-2002) (c. $US 1.5 million) (CCH CI and Foundation Director).
ARC Large Grant: with V.V. Anh (QUT): Long memory fractal models, fractional diffusion & applications (1996-2004) ($91,000, $186,000, $153,000, $195,000 ).
ARC Large Grant: Non-standard stochastic models in complex systems (2003-2005) ($215,000).
ARC Centre of Excellence in Mathematics and Statistics of Complex Systems (Universities of Melbourne, NSW, Queensland, LaTrobe and ANU) (2003-2007) (c. $11 million) (CCH, of 12 CIs).

Selected Professional Activities

Editor, Aust. J. Statistics, 1973-78.
Editor-in-Chief & Coordinating Ed., Advances in Applied Probability & J. Appl. Prob., 1983-89.
Editor, Stochastic Processes & their Applications,
1983-89; Associate Editor from 1972-82.
(Joint) Editor, Springer Monograph Series in Probability and its Applications, since 1985.

Selected Recent Publications

  • Martingale Limit Theory and its Application (withP.G. Hall). Academic Press, New York, 1980.
  • Quasi-Likelihood and its Application. Springer-Verlag, New York,1997.
  • Statistical estimation of nonstationary Gaussian processes with long-range dependence & intermittency (with J.T. Gao & V.V. Anh), Stoch. Proc. Appl. 99, (2002), 295-321.
  • A risky asset model with strong dependence through fractal activity time,J. Appl. Prob. 36, (1999), 1234-1239.
  • Empirical realities for a minimal description risky asset model. The need for fractal features (with S. Liu), Principal Invited Paper, Math. in the New Millenium Conf., Yonsei Univ., Seoul, Korea, 2000, J. Korean Math. Soc.,, to appear.
  • Dynamic models of long-memory processes driven by Levy noise (with V.V. Anh, N.N. Leonenko), J. Appl. Prob. 39(2002), 730-747.
  • On modes of long-range dependence, J. Appl. Prob. 39, (2002), 882-888.
  • Smoothed periodogram asymptotics & estimation for processes and fields with possible long-range dependence (with R.Gay), Stoch. Proc. Applic.45, (1993), 169-182.