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Sidney Resnick School of Operations Research and Information Engineering |
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Sidney Resnick Lee Teng Hui Professor in Engineering School of Operations Research and Information Engineering Cornell University
284 Rhodes Hall |
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Research Interests My professional interests center in applied probability and sometimes cross the boundary into statistics. I have worked on modeling questions for queues, storage facilities, extremes, data networks and worried about estimation problems for tails and non-standard time series models. A recurrent theme is influence of tails, especially heavy tails where large values shock the system. Heavy tailed modeling has become increasingly important in data network modeling and finance. In network modeling, heavy tailed file sizes are the current explanation of choice for observed long range dependence in network traffic and in finance, extreme value and heavy tailed methods offer methods for calculating value at risk. The analytic basis for heavy tailed modeling is the theory of regularly varying functions; the probabilistic basis for analysis turns out to rest on stochastic point processes. Tail estimation problems generally require estimating beyond the range of the data and are difficult. A good understanding of probability, stochastic processes and statistics are required to do sensible things. Likewise, good network research will involve people with applied probability, statistics, simulation and optimization backgrounds. |
Reports & Papers