I am on leave at the University of Chicago for the 2011-12 academic year.

Personal Info

Danish for the truth about stoffer ...sort of.

David S. Stoffer is a Professor in the Department of Statistics. He also has a courtesy appointment up the hill in the Department of Biostatistics. This all takes place somewhere at or near the University of Pittsburgh.

Mailing address:
      David S. Stoffer
      Department of Statistics
      University of Pittsburgh
      Pittsburgh, PA 15260
      USA

Tele: [412] 624-8496
Fax: [412] 648-8814
Email:
Calendar
CV
Fotos
My IMDb Page
Google Scholar Page

Some Papers

The attached Nielsen twins like to collect and read Stoffer ... now you can, too!

Website for Time Series Analysis and Its Applications: With R Examples (Edition 3) by R.H. Shumway and D.S. Stoffer. Springer Texts in Statistics, 2010.
You unlock this door with the key of imagination. Beyond it is another dimension... a dimension of sound, a dimension of sight, a dimension of mind. You're moving into a land of both shadow and substance, of things and ideas. You've just crossed over into... T i M e S e R i e S a N a L y S i S
AdaptSPEC: Adaptive Spectral Estimation for Nonstationary Time Series (with Ori Rosen and Sally Wood). adaptSPEC.pdf (preprint)
We propose a method for analyzing possibly nonstationary time series by adaptively dividing the time series into an unknown but finite number of segments and estimating the corresponding local spectra by smoothing splines. The model is formulated in a Bayesian framework, and the estimation relies on reversible jump Markov chain Monte Carlo (RJMCMC) methods. For a given segmentation of the time series, the likelihood function is approximated via a product of local Whittle likelihoods. Thus, no parametric assumption is made about the process underlying the time series. The number and lengths of the segments are assumed unknown and may change from one MCMC iteration to another. The frequentist properties of the method are investigated by simulation, and applications to EEG and the El Niño Southern Oscillation phenomenon are described in detail.
Local Spectral Analysis via a Bayesian Mixture of Smoothing Splines (with Ori Rosen and Sally Wood). Journal of the American Statistical Association, 249-262, 2009. mixss.pdf
Smoothing Spline ANOPOW (with Sangdae Han, Li Qin and Wensheng Guo). Journal of Statistical Planning and Inference [special volume in honor of Manny Parzen - thanks Manny for all the slaps, with extra force, on the back], 3789-3796, 2010. ssanopow.pdf
A Stochastic Volatility Mixture Model: Estimation in the Presence of Irregular Sampling via Particle Methods and the EM Algorithm (with J. Kim - based on her dissertation). Journal of Time Series Analysis, 29, Issue 5, 811-833, 2008. svmm.pdf

The Matlab programs are also available as a pdf file for ease of reading and as an ascii file.
Automatic Estimation of Multivariate Spectra via Smoothing Splines (with O. Rosen). Biometrika, 94, 335-345, 2007. multspec.pdf
A Residuals-Based Transition Model for Longitudinal Analysis with Estimation in the Presence of Missing Data (with T. Koru-Sengul - based on her dissertation). Statistics in Medicine 26, 3330-3341, 2007. tmla.pdf
The code for SAS, Splus and R.
Discrimination and Classification of Nonstationary Time Series using the SLEX Model (with H-Y Huang & H. Ombao - based on Huang's dissertation): the article and the tech report (the tech report has detailed proofs). Journal of the American Statistical Association, 99, 763-774, 2004.
The Matlab programs are also available here.
Resampling in State Space Models (booty.pdf) Chapter 9 (pp. 171-202) of State Space and Unobserved Component Models: Theory and Applications. Cambridge University Press, 2004.
Local Spectral Envelope: An Approach Using Dyadic Tree Based Adaptive Segmentation (with H. Ombao and D.E. Tyler). Annals of the Institute of Statistical Mathematics, 54, 201-223, 2002. lospen.pdf
Nonparametric Frequency Detection and Optimal Coding in Molecular Biology: nfdoc.pdf In Modeling Uncertainty, 129-154, Internat. Ser. Oper. Res. Management Sci., 46, Kluwer Acad. Publ., Boston, MA, 2002.
The Spectral Envelope and Its Applications (with D.E. Tyler & D.A. Wendt). Statistical Science. 15(3): 224-253 (2000). specrev.pdf
Stoffer, D.S. (1999). Detecting common signals in multiple time series using the spectral envelope. Journal of the American Statistical Association, 94, 1341-1356. sigs.pdf
Stoffer, D.S. & Tyler, D.E. (1998). Matching sequences: Cross spectral analysis of categorical time series. Biometrika, 85, 201-213. match.pdf
McDougall, A.J., Stoffer, D.S. & Tyler, D.E. (1997). Optimal transformations and the spectral envelope for real-valued time series. Journal of Statistical Planning and Inference, 57, 195-214. mst97.pdf
Stoffer, D.S., Tyler, D.E. & McDougall, A.J. (1993). Spectral analysis for categorical time series: Scaling and the spectral envelope. Biometrika, 80, 611-622. spenv.pdf
Stoffer, D.S. (1991). Walsh-Fourier analysis and its statistical applications (with discussion). Journal of the American Statistical Association, 86, 462-483. walshapps.pdf

wft.for Fortran program to calculate the finite Walsh transform.
Stoffer, D.S., Scher, M., Richardson, G., Day, N. & Coble, P. (1988). A Walsh- Fourier analysis of the effects of moderate maternal alcohol consumption on neonatal sleep-state cycling. Journal of the American Statistical Association, 83, 954-963. Find it here (JSTOR).
Here are the data files: group1 and group2; details are in the first file. This paper won the American Statistical Association's Outstanding Statistical Application Award for 1989. The theory for this paper was given in Stoffer (1987)... just below:
Stoffer, D.S. (1987). Walsh-Fourier analysis of discrete-valued time series. Journal of Time Series Analysis, 8, 449-467. discrete.pdf
Stoffer, D.S. (1990). Multivariate Walsh-Fourier Analysis. Journal of Time Series Analysis, 11, 57-73. mwalsh.pdf

I've been asked for the data from this a few times, so here they are: slpmv1.dat, slpmv2.dat. The data files are similar to the sleep state data files with an additional column of the per minute number of movements.
Shumway, R.H. & Stoffer, D.S. (1992). Dynamic linear models with switching. Journal of the American Statistical Association, 86, 763-769. dlmws.pdf
Shumway, R.H. & Stoffer, D.S. (1982). An approach to time series smoothing and forecasting using the EM algorithm. Journal of Time Series Analysis, 3, 253-264. em.pdf
R code for the algorithm can be found at the website for the second editon of our text. We still get many requests for the tech report corresponding to this paper. Unfortunately, the tech reports are long gone (believe it or not, in those days people typed their papers using an IBM selectric typewriter with little balls that had to be changed for math symbols). Fortunately, the details of the proofs (in more depth than was given in the tech report) are presented in our text in Sections 6.2 to 6.4.
Carlin, B.P., Polson, N.G. & Stoffer, D.S. (1992). A Monte Carlo approach to nonnormal and nonlinear state space modeling. Journal of the American Statistical Association, 87, 493-500. gibbs.pdf
Stoffer, D.S. (1986). Estimation and identification of space-time ARMAX models in the presence of missing data. Journal of the American Statistical Association, 81, 762-772. starmax.pdf

The data (details in the 1st file): cpue1.dat, cpue2.dat, cpue3.dat, cpue4.dat, cpue5.dat
Stoffer, D.S. & Wall, K. (1991). Bootstrapping state space models: Gaussian maximum likelihood estimation and the Kalman filter. Journal of the American Statistical Association, 86, 1024-1033. boots.pdf

This material is discussed in Chapter 6 of Shumway & Stoffer (2006). Some R code and examples can be found at the website for the second editon of the text. An implementation of the algorithm for Gauss TSM users can be found here.
...some info for my med school friends- all the Stoffers listed are me, except for #4

top

The Present-Day Composer Refuses to Die

In a fight between you and the world, pick the world - FZ

You can't be a real country unless you have a beer and an airline - it helps if you have some kind of a football team, or some nuclear weapons, but at the very least you need a beer. - FZ

Jazz is not dead - it just smells funny. - FZ

No change in musical style will survive unless it is accompanied by a change in clothing style. Rock is to dress up to. - FZ

The creation and destruction of harmonic and 'statistical' tensions is essential to the maintenance of compositional drama. Any composition (or improvisation) which remains consonant and 'regular' throughout is, for me, equivalent to watching a movie with only 'good guys' in it, or eating cottage cheese. - FZ

Zappa Sights and Sounds:

a studio rehearsal with commentary by FZ
if we'd all been living in california from "uncle meat"
slime with an intro by mr rogers
how about lisa's life story (yes, that's really Lisa Popeil ...)
an a cappella cover of the meek shall inherit nothing,
by the persuasions
the muffin man
and the demo for i was a teenage malt shop
with commentary.
FZ discusses censorship on crossfire.
a very nice video of Frank and the boys
playing St. Alfonzo's Pancake Breakfast/Father O'Blivion
- find out who stole the mar-juh-reen.
how about some WPLJ ... what could it be?