Professor Nikolai Leonenko
Overview
Position:
Professor
Email:
LeonenkoN@cardiff.ac.ukTelephone: +44(0)29 208 75521
Fax: +44(0)29 208 74199
Extension: 75521
Location: M/2.35
Research Interests
My research interests includes statistical analysis of stochastic processes and random fields; limit theorems for functionals of random fields under weak and strong dependence; limit distributions of the rescaled solutions of linear and non-linear partial differential equations with random initial conditions; fractional differential equations and PDE with random data; statistical inference with higher-order information; finance and stochastics; ruin problem for jump-diffusions for insurance models; multifractality and miltifractal moment-scaling of geometric Ornstein-Uhlenbeck processes driven by Levy noise and stationary diffusions; statistical estimation of Shannon and Renyi information and statistical differences.
Research Group
Recent Publications
Anh, V.V, Leonenko, N.N, and Shieh N.-R., Taufer, E. (2010), Simulation of multifractal products of Ornstein-Uhlenbeck type processes, Nonlinearity, 23, 823-843
Leonenko, N. N., Seleznev, O. (2010) Statistical inference for ε-entropy and quadratic Renyi netropy, J. Multivariate Analysis, 101, 1981-1994 (A)
Leonenko N.N, Pronzato, L. and Savani, V. (2008), A class of Renyi information estimators for multidimensional densities, Annals of Statistics36, N 5, 2153-2182, Corrections, Annals of Statistics , 2010, 38, N6, 3837-3838
Anh, V.V, Leonenko, N.N, and Shieh N.-R., (2008), Multifractality of products geometric Ornstein-Uhlenbeck type processes, Adv. of Appl. Probab, 40, N4, 1129-1156
Teaching
MA0369 Stochastic Models for Insurance
MA0370 Elements of Financial Mathematics
MA0367 Time Series Analysis and Forecasting
Administrative Duties
School Library Representative
Member of School Statistics/OR Subject Panel
Member of Editorial Board of the following journals:
International Journal of Stochastic Analysis (Hindawi Publishing Corporation, USA),
ISSN 1048-9533
Random Operators and Stochastic Equations (publ. Walter de Gruyter , Berlin, New York), ISSN 0926-6364
Theory of Probability and Mathematical Statistics (publ. TBiMC (Ukraine) and AMS (USA)), ISSN 1547-7363
Mathematical Communications (publ. by CMS, Croatia)
International Journal of Differential Equations (Hindawi Publishing Corporation, USA), I am a one of Guest Editors of Special Issue of International Journal of Differential Equations on Fractional Differential Equations (2009-2010).
Major honours and distinctions
N. M. Krylov medal of Academy of Science of Ukraine (1993), the highest annual award for mathematicians in Ukraine
Soros Professor (1997)
I am a member of the American Mathematical Society, London Mathematical Society and Kiev Mathematical Society
Invited Seminars since 2000
Queensland University of Technology, Australia (August 2010)
University of Nancy, France (July 2010)
University of Granada, Spain (May 2010)
Michigan State University, USA (March 2010).
Wichita University, USA (April 2010).
Michigan State University, USA (2009),
University of Pau, France (2008),
Boston University, Boston, USA (2008)
Charles University, Prague, Czech Republic (2008)
Silesian University of Technology, Gliwice, Poland (2008)
Herriot-Watt University, Edinburgh, UK (2007)
Umea University, Umea, Sweden (2007)
University of Melbourne, Australia (2007)
University of Granada, Spain (2007)
Pau University, France (2006)
University of Cambridge, UK (2006)
University of Granada, Spain (2006)
University of Barselona, Spain (2005)
University of Sydney, Australia (2004)
University of Western Australia, Perth, Australia (2004)
University of Cergy Pontoise (Paris, Malakoff, France (2004)
University of Trento, Italy (2004)
University of Nice, Antipolis, France (2003)
UMIST (Manchester) (2003)
University of Granada, Spain (2003)
University of Liverpool (2003)
London School of Economics (2002)
Nottingham Trend University (2002)
Glasgow University (2002)
Bristol University (2001)
University of Leeds (2001)
University of Swansea (2000)
Visiting Professorships since 2001
Queensland University of Technology, Brisbane, Australia (August-September, 2001)
Queensland University of Technology, Brisbane, Australia (April, 2002)
University of Roma “La Sapeinza”, Italy ( July 2002)
School of Mathematical Sciences, Queensland University of Technology, Brisbane, Australia (August-September, 2002)
University of Granada, Spain (December 2002)
Queensland University of Technology, Brisbane, Australia (April, 2003)
University of Granada, Spain (June 2003)
University of Trento, Italy (July 2003)
Queensland University of Technology, Brisbane, Australia (September 2003)
University of Trento, Italy (March, 2004 )
University Paris V, Malakhov, France (April, 2004)
Queensland University of Technology, Brisbane,
and University of Western Australia, Perth, Australia (August-September 2004)
University of Nice-Sophia Antipolis, France (March 2005).
Hokkaido University, Sapporo, Japan (July 2005)
Queensland University of Technology, Brisbane, Australia (August-September 2005)
University of Cambridge, (March 2006)
University of Granada, Spain (June 2006)
Hokkaido University, Sapporo, Japan (July 2006)
Queensland University of Technology, Brisbane, Australia (August-September 2006)
University of Pau, France (September 2006).
National Taiwan University, Taipei (December 2006)
University of Granada, Spain (April 2007)
University of Umea, Sweden (May 2007)
Department of Mathematics, University of Nice-Sophia Antipolis, France (August 2007).
Queensland University of Technology, Brisbane, Australia (August-September 2007)
Queensland University of Technology, Brisbane, Australia (August-October 2008)
University of Boston, USA (July 2008)
University of Pau, France (November-December 2008).
University of Michigan (January 2009)
Department of Mathematics, University of Nice-Sophia Antipolis, France (April 2009).
University of Granada, Spain (May 2009)
Queensland University of Technology, Brisbane, Australia (August 2009)
University of Michigan (March 2010).
Wichita University (April 2010).
University of Granada, Spain (May 2010)
Queensland University of Technology, Brisbane, Australia (August 2010)
University of Granada, Spain (January 2011)
Publications
Author of about 180 papers, 2 monographs
16 scientists under his scientific leadership received a Ph. D. in Probability Theory and Mathematical Statistics.
List of Publications since 2003
The ranking are used in the following categories: (A) Work which is recognised as a major contribution to a subject either in breaking new ground or as a definitive study.
(B) Paper in major journal containing new material or new interpretation and/or analysis.
(C) Publication containing modifications of technique, or extension of an application which may include additional and useful but minor accumulation of data. Fairy brief clarification of, or comment on, other work.
(D) Preliminary communications ephemera, conference abstract, purely expository articles.
2012
Leonenko, N.N., Meerschaert, M.M and Sikorskii, A. (2012) Fractional Pearson diffusion, submitted (A)
Leonenko N.N, Petherick, S. and Sikorskii A. (2012) Normal Inverse Gaussian model for risky asset with dependence, Statistic and Probability Letters, 82, 109-115 (A)
Du, J., Leonenko, N., Ma. C. and Shu, H. (2012) Hyperbolic vector random fields with hyperbolic direct and cross covariance functions, Stochastic Analysis and Applications, in press (A).
Leonenko N.N, Petherick, S. and A. Sikorskii (2012) Fractal activity time models for risky asset with dependence and generalized hyperbolic distributions, Stochastic Analysis and Applications, in press (A).
2011
Leonenko, N.N, Ruiz-Medina, M.D. and Taqqu, M.S. (2011) Fractional elliptic, hyperbolic and parabolic random fields, Electronic Journal of Probability, vol 16, Paper n 40, pages 1134-1172 (A)
Leonenko, N.N and Ruiz-Medina, M.D (2011) Random fields arising in chaotic systems:Burgers equation and fractal pseudodifferential systems. In “Space-Time Processes and Challengers Related to Environmental Problems”, Lecture Notes in Statistics, vol 207, Springer-Verlag, E.Porcu et al.(Eds), in press (B)
Denisov, D and Leonenko, N.N. (2011) Multifractality of products of geometric stationary processes, Annals of Applied Probability, submitted, published in http://arxiv.org/abs/1110.2428 (A)
Anh, V.V., Leonenko N.N, Ruiz-Medina, M.D. (2011) Macroscaling limit theorems for filtered spatiotemporal random fields, Probability Theory & Related Fields, submitted
Kulik, A.M. and Leonenko, N.N. (2011) Ergodicity and mixing bounds for the Fisher-Snendecor diffusion, Bernoulli, submitted.
Leonenko, N.N, Petherick, S. and Taufer, E. (2011) Multifractal scaling for risky asset modelling, Fractals, submitted
Leonenko N. and Olenko, A. (2012) Toward a computational approach to Tauberian and Abelian theorems, Methodology and Computing in Applied Probability, submitted (A)
Avram, F., Leonenko, N.N and Sakhno, L. (2011) Limit theorems for additive functionals of stationary fields, under integrability assumptions on the higher order spectral densities, Journal of Theoretical Probability, submitted (A)
Leonenko, N.N and Shieh N.-R. (2011) Renyi function for multifractal random fields, Fractals, submitted (A)
Ivanov A.V., Leonenko N.N, Ruiz-Medina, M.D. and Savich, I.N. (2011) Limit theorems for weighted non-linear transformations of Gaussian processes with singular spectra, Annals of Probability, tentatively excepted (A)
Ivanov A.V., Leonenko N.N, Ruiz-Medina, M.D. and Zhurakovsky, B.M. (2011) On the estimation of a harmonic component in a non-linear regression model with singular spectrum, J. Statist. Plann. Inference, submitted (A)
Avram, F., Leonenko, N.N and Suvak, N., (2011), On spectral properties and statistical analysis of Fisher-Snedecor diffusion, ESAIM: Probablity and Statistics, submitted (A)
Leonenko, N. N.; Sakhno, L. M. (2011) On spectral representations of tensor random fields on the sphere, Stochastic Analysis and Applications, in press (A)
Leonenko N.N, Petherick, S. and A. Sikorskii (2011) The Student subordinated models with dependence for risky asset returns, Communications in Statistics: Theory and Methods, 40, 1-15. (A)
Anh, V.V, Leonenko, N.N (2011) Stochastic Modelling of Multiscale Systems, Monograph in preparation (75% is ready).
Avram, F., Leonenko, N.N and Suvak, N., (2011), Spectral representation of transition density of Fisher-Snedecor diffusion, Stochastics, submitted (A)
Taufer, E. and Leonenko, N.N., Bee, M. (2011) Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models, Computational Statistics and Data Analysis, 55, 2525-2539 (A)
Avram, F., Leonenko, N.N and Suvak, N., (2011), Parameter estimation for Fisher-Snedecor diffusion, Statistics, 45, N1, 27-42 (A
2010
Avram, F., Leonenko, N.N, and Sakhno, L., (2010), On Szego type limit theorem, the Holder –Young-Brascamp-Lieb inequality, and asymptotic theory of integrals and quadratic forms of stationary fields, ESAIM: Probablity and Statistics, vol 14, 2010, 210-255 (A)
Anh, V.V, Leonenko, N.N, and Shieh N.-R., Taufer, E. (2010), Simulation of multifractal products of Ornstein-Uhlenbeck type processes, Nonlinearity, 23, 823-843 (A)
Leonenko, N. N., Seleznev, O. (2010) Statistical inference for ε-entropy and quadratic Renyi netropy, J. Multivariate Analysis, 101, 1981-1994 (A)
Leonenko, N.N and Suvak, N., (2010), Statistical inference for reciprocal gamma diffusion processes, J. Statist. Plann. Inference, 140, 30-51 (A)
Leonenko, N.N and Suvak, N., (2010), Statistical inference for Student diffusion process, Stoch. Anal. Appl. 28, N6, 972-1002 (A)
Leonenko N.N, Ruiz-Medina, M.D., (2010), Spatial scaling for randomly initialized heat and Burgers equation with quadratic potential, Stochastic Analysis and Applications, 28, 303-321
F.Liu, M.Meerschaert, Sh. Momani, N.Leonenko, W.Chen and Om Agrawal, (2010)"Fractional Differential Equations," International Journal of Differential Equations, vol. 2010, Article ID 215856, 2 pages, doi:10.1155/2010/215856.
F.Liu, M.Meerschaert, Sh. Momani, N.Leonenko, W.Chen and Om Agrawal (2010) "Fractional Differential Equations," Special Issue of the International Journal of Differential Equations.
Avram, F., Leonenko, N.N and Suvak, N., (2010), On spectral properties and statistical analysis of Fisher-Snedecor diffusion, arXiv:1007.4909v1 (A)
Avram, F., Leonenko, N.N, and Sakhno, L., (2010), Harmonic analysis tools for statistical inference in spectral domain, Lecture Notes in Statistics, vol 200, Springer, New York, Doukhan P.; Lang, G.; Surgailis, D.; Teyssiere, G. (Eds), ISBN:978-3-642-14103-4, in press (B)
Anh, V.V, Leonenko, N.N, and Shieh N.-R., (2010), Multifractal scenarios for products of geometric Ornstein-Uhlenbeck processes, Lecture Notes in Statistics, vol 200, Springer, New York, Doukhan P.; Lang, G.; Surgailis, D.; Teyssiere, G. (Eds), ISBN:978-3-642-14103-4 (B)
2009
Anh, V.V, Leonenko, N.N, and Shieh, N.-R., (2009), Multifractal scaling of products of birth-death processes, Bernoulli, 15 (2), 508-531
Dette, H., Leonenko, N.N., Pepelishev, A. and Zhigljavsky, A. (2009) Asymptotic optimal designs under long-range dependence error structure, Bernoulli, 15, N4, 1036-1056
Avram, F., Leonenko, N. and Rabenhasaina, L. (2009) Series expansions for the first passage distribution of Wong-Pearson jump-diffusions. Stoch. Anal. Appl. 27 , no. 4, 770—796
Anh, V.V, Leonenko, N.N, and Shieh N.-R., (2009), Multifractal products of stationary diffusion processes, Stochastic Analysis and Applications, 27, 475-499
Ivanov, A.V.,Leonenko, N.N., (2009), Robust estimators in nonlinear regression models with long-range dependence, in “Optimal Design and Related Areas in Optimization and Statistics”, L. Pronzato and A.Zhigljavsky, eds, Springer , Berlin, 193—221
Taufer, E. and Leonenko, N.N., (2009), Simulation of Levy-driven Ornstein-Uhlenbeck processes with given marginal distribution, Computational Statistics and Data Analysis, 53, 2427-2437
Taufer, E. and Leonenko, N.N., (2009), Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes, J. Statist. Plann. Inference, 139, 3050-3063
Leonenko, N. N.;Sakhno, L. M. (2009) On spectral representations of tensor random fields on the sphere, eprint arXiv:0912.3389 , submitted to Stochastic Analysis and Applications.
Anh, V. V.; Leonenko, N. N.; Sakhno, L. M. (2009) Evaluation of bias in higher-order spectral estimation. Teor. Ĭmovīr. Mat. Stat. No. 80, 1-14
2008
Leonenko N.N, Pronzato, L. and Savani, V. (2008), A class of Renyi information estimators for multidimensional densities, Annals of Statistics 36, N 5, 2153-2182, Corrections, Annals of Statistics , 2010, 38, N6, 3837-3838 (A)
Anh, V.V, Leonenko, N.N, and Shieh N.-R., (2008), Multifractality of products geometric Ornstein-Uhlenbeck type processes, Advanced of Applied Probability, 40, N4, 1129-1156
Anh, V.V., Leonenko, N. N, (2008); Lognormal, log-gamma and log-inverted gamma scenarios in multifractal products of stochastic processes, Stat. Probability Letters, 78, 1274-1282
Leonenko, N.N, Ruiz-Medina, M.D., (2008), Gaussian scenario for the heat and Burgers equations with quadratic external potential and weakly dependent data with applications, Methodology and Computing in Applied Probability, 10, N 4, 595-620
Anh, V.V, Leonenko, N.N, and Shieh, N.-R., (2008), Log-Euler’ s Gamma scenario for products of Ornstein-Uhlenbeck processes, Mathematical Communications, 13, N 2, 133-148
Leonenko, N.N, Pronzato, L. and Savani, V., (2008), Estimation of entropies and divergences via nearest neighbours, Tatra Mt. Math. Publ., 39, 265-273
Ivanov, A.V., Leonenko, N.N., (2008), Semiparametric analysis of long-range dependence in nonlinear regression, J. Statist. Plann. Inference, 138, 1733-1753
Angulo J.M., Kelbert M.Ya., Leonenko, N.N, Ruiz-Medina, M.D, (2008), Spatio-temporal random fields associated with stochastic fractional Helmgoltz and heat equations, Stochastic Environmental Research and Risk Assessment, 22, N1, 3-13
Bakeerathan, G. and Leonenko, N. N., (2008), Linnik processes, Random Oper. Stochastic Equations 16, N 2, 109-130
2007
Anh, V. V.; Leonenko, N. N.; Sakhno, L. M. (2007) Statistical inference using higher-order information, J. Multivariate Analysis, 98, N4, 706-742
Anh, V. V.; Leonenko, N. N.; Sakhno, L. M. (2007) Statistical inference based on the information of the second and third order, J. Statist. Plann. Inference, , 137, 1302-1331
Leonenko, N.N., Savani, V. and Zhigljavsky, A. (2007) Autoregressive Negative Binomial processes, Les Annales de l`I.S.U.P. , 2007, vol. 51, Fasc. 1-2, 25-47
2006
Leonenko, N.N, Ruiz-Medina, M.D., (2006), Scaling laws for the multidimensional Burgers equation with quadratic external potential, J. Statist. Physics, 124, N1, 191-205 (A)
Leonenko, N.N. and Sakhno, L.M., (2006), On the Whittle estimators for some classes of continuous parameter random processes and fields, Stat. Probability Letters, 76, 781-795 (A)
Leonenko, N.N, Ruiz-Medina, M.D., (2006), Strongly dependent Gaussian scenarios for the Burgers turbulence problem with quadratic external potential, Random Operators and Stoch. Equ., 14, N 3, 259-274 (A)
Leonenko, N.N. and Taufer, E., (2006), Weak convergence of stationary long memory processes to Rosenblatt-type distributions, J. Statist. Plann. Inference, 136, 1220-1236
Anh, V.V., Leonenko, N.N., Sakhno, L.M., (2006), Spectral properties of Burgers and KPZ turbulence. J. Statist. Physics, 122, N 5, 949-974 (A)
2005
Barndorff-Nielsen, O.E. and Leonenko, N.N., (2005), Spectral properties of superpositions of Ornstein-Uhlenbeck type processes, Methodology and Computing in Applied Probability, 7, 335-352 (A)
Leonenko, N.N. and Taufer, E., (2005), Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion, Stochastics, 77, 477-499 (A)
Barndorff-Nielsen, O.E., Leonenko, N.N., (2005), Burgers' turbulence problem with linear or quadratic external potential. J. Appl. Probab. 42, N 2, 550—565 (A)
Heyde, C.C., Leonenko, N.N., (2005), Student processes. Adv. in Appl. Probab. 37, N 2, 342—365 (A)
Kelbert, M.Ya., Leonenko, N.N., Ruiz-Medina, M. D., (2005), Fractional random fields associated with stochastic fractional heat equations. Adv. in Appl. Probab. 37, N 1, 108—133 (A)
Goria, M.N., Leonenko, N.N., Mergel, V.V., (2005), Novi Inverardi, P. L. A new class of random vector entropy estimators and its applications in testing statistical hypotheses. J. Nonparametr. Stat. 17, N 3, 277—297 (A)
2004
Ivanov, A.V., Leonenko, N.N., (2004), Asymptotic theory of nonlinear regression with long-range dependence. Math. Methods Statist. 13, N 2, 153—178 (A)
Leonenko, N.N., Sakhno, L., (2004), Limit theorems for empirical spectral functionals of higher orders. Theory Stoch. Process. 10 , N , 103—114 (B)
Anh, V.V., Knopova, V.P., Leonenko, N.N., (2004), Continuous-time stochastic processes with cyclical long-range dependence. Aust. N. Z. J. Stat. 46, N 2, 275—296 (B)
Anh, V.V., Leonenko, N.N., Sakhno, L. M., (2004), Quasi-likelihood-based higher-order spectral estimation of random fields with possible long-range dependence. Stochastic methods and their applications. J. Appl. Probab. 41A, 35—53 (A)
Anh, V.V., Leonenko, N.N., Sakhno, L.M., (2004), On a class of minimum contrast estimators for fractional stochastic processes and fields. J. Statist. Plann. Inference 123, N 1, 161—185 (A)
2003
Leonenko, N. N., Taufer, E., (2003) On the rate of convergence to the normal law of LSE in regression with long range dependence. Statistica (Bologna) 63, N 1, 53-69 (2004) (C)
Anh, V.V., Leonenko, N.N., Moldavskaya, E.M., Sakhno, L.M., (2003), Estimation of spectral densities with multiplicative parameter. Acta Appl. Math. 79, N 1-2, 115—128 (A)
Anh, V.V., Leonenko, N.N., Mcvinish, R., (2003), On semilinear stochastic fractional differential equations of Volterra type. Random Oper. Stochastic Equations 11, N 2, 137—150 (B)
Anh, V.V., Leonenko, N.N., (2003), Harmonic analysis of random fractional diffusion-wave equations. Appl. Math. Comput. 141, N 1, 77—85 (A)
Anh, V.V., Leonenko, N.N., Sakhno, L.M., (2003), Higher-order spectral densities of fractional random fields. J. Statist. Phys. 111, N 3-4, 89—814 (A)
Anh, V.V., Leonenko, N. N., (2003), Spectral theory of renormalized fractional random fields. Theory Probab. Math. Statist. N 66, 1—13 (B)
List of Publications between 2000-2003
Anh, V.V.; Heyde, C.C.; Leonenko, N.N. Dynamic models of long-memory processes driven by Lévy noise. J. Appl. Probab. 39 (2002), N 4, 730—747 (A)
Anh, V.V.; Leonenko, N.N. Renormalization and homogenization of fractional diffusion equations with random data. Probab. Theory Related Fields 124 (2002), N 3, 381—408 (A)
Knopova, V. P.; Leonenko, N. N. Limit behaviour of rescaled solutions to the Airy equation with random strongly dependent initial conditions. Dopov. Nats. Akad. Nauk Ukr. Mat. Prirodozn. Tekh. Nauki (2002), no. 9, 47—50 (D)
Anh, V. V.; Leonenko, N. N.; Melnikova, O. O. Scaling laws for fractional Volterra equations with chi-square random data. Math. Commun. 7 (2002), no. 2, 159—175 (C)
Ivanov, A. V.; Leonenko, N. N. Asymptotic behaviour of M-estimators in continuous-time non-linear regression with long-range dependent errors. Random Oper. Stochastic Equations 10 (2002), no. 3, 201—222 (A)
Leonenko, N. N.; Sakhno, L.; Taufer, E. Product-limit estimator for long- and short-range dependent sequences under gamma type subordination. Random Oper. Stochastic Equations 10 (2002), no. 4, 301—320 (B)
Leonenko, N. N.; Moldavskaya, E. M. Non-Gaussian scenarios in long-memory regression models with non-linear constraints. Dopov. Nats. Akad. Nauk Ukr. Mat. Prirodozn. Tekh. Nauki (2002), no. 2, 44—46 (D)
Anh, V. V.; Leonenko, N. N.; Nguyen, C. N. Stochastic differential equations with fractional Riesz-Bessel motion input. ITEM. Inf. Technol. Econ. Manag. No. 1 (2001), Paper 8, 19 pp. (electronic) (C)
Burikna, N.O.; Leonenko, N.N.; Melnikova, O. O. Statistical estimates for the parameters of the heat equation with non-Gaussian initial conditions in multidimensional spaces. (Ukrainian) Visn. Kiïv. Univ. Ser. Fiz.-Mat. Nauki (2001), no. 1, 88—106 (D)
Leonenko, N.N.; Woyczynski, W. A. Parameter identification for stochastic Burgers' flows via parabolic rescaling. Probab. Math. Statist. 21 (2001), no. 1, Acta Univ. Wrotslav. No. 2298, 1—55 (A)
Anh, V. V.; Leonenko, N. N. Spectral analysis of fractional kinetic equations with random data. J. Statist. Phys. 104 (2001), no. 5-6, 1349—1387 (A)
Leonenko, N. N.; Taufer, E. Asymptotic properties of LSE in multivariate continuous regression with long memory stationary errors. Metron 59 (2001), no. 1-2, 55—72 (C)
Leonenko, N. N.; Sakhno, L. M. On the Kaplan-Meier estimator of long-range dependent sequences. Stat. Inference Stoch. Process. 4 (2001), no. 1, 17—40 (A)
Anh, V. V.; Leonenko, N. N.; Sharapov, M. M. Least squares estimation of regression coefficients of singular random fields observed on a sphere. Math. Commun. 6 (2001), no. 1, 57—72 (B)
Leonenko, N. N.; Anh, V. V. Rate of convergence to the Rosenblatt distribution for additive functionals of stochastic processes with long-range dependence. Special issue: Advances in applied stochastics. J. Appl. Math. Stochastic Anal. 14 (2001), no. 1, 27—46 (A)
Leonenko, N.N.; Melnikova, O. O. Rescaling and homogenization of solutions of the heat equation with a linear potential and of the corresponding Burgers equation with random data.Theory Probab. Math. Statist. No. 62 (2001), 77--88 (C)
Anh, V. V.; Leonenko, N. N.; McVinish, R. Models for fractional Riesz-Bessel motion and related processes. Fractals. 7 (2001), 9, no. 3, 329—346 (A)
Ivanov, O. V.; Leonenko, N. N. Asymptotic inferences for a nonlinear regression with strong dependence.Theory Probab. Math. Statist. No. 63 (2002), 65--85 (A)
Leonenko, N. N.; Sharapov, M. M.; El-Bassiouny, A. H. On the exactness of normal approximation of LSE of regression coefficient of long-memory random fields. Statist. Probab. Lett. 48 (2000), no. 2, 121—130 (A)
Beghin, L.; Knopova, V. P.; Leonenko, N. N.; Orsingher, E. Gaussian limiting behavior of the rescaled solution to the linear Korteweg-de Vries equation with random initial conditions. J. Statist. Phys. 99 (2000), no. 3-4, 769—781 (A)
Burikina, N. O.; Leonenko, N.N. Statistical estimates for parameters of the heat equation with random initial conditions.Theory Probab. Math. Statist. No. 61 (2000), 3—14 (C)
Anh, V. V.; Leonenko, N. N. Scaling laws for fractional diffusion-wave equations with singular data. Statist. Probab. Lett. 48 (2000), no. 3, 239—252 (A)
Books
LEONENKO, N.N. (1999), Limit Theorems for Random Fields with Singular Spectrum, Mathematics and its Applications, 465. Kluwer Academic Publishers, Dordrecht/Boston/London
LEONENKO, N.N., Mishura, Yu.S., Parkhomenko, V.N. and Yadrenko, M.I. (1995), Probabilistic and Statistical Methods in Economics and Financial Mathematics, Kiev, Informtechnika. The book is the first textbook for students in Ukraine on financial mathematics and econometrics. This book recommends by the Ministry of Education of Ukraine for students in mathematical and economical specialities.
Ivanov, A.V. and LEONENKO, N.N. (1989), Statistical Analysis of Random Fields, Mathematics and its Applications, 28. Kluwer Academic Publishers, Dordrecht/Boston/London
Ten career-best publications
Kozachenko, L.F. and LEONENKO, N.N., (1987), A statistical estimate for the entropy of a random vector, Problems Infor. Transmiss., 23(2), 9-16
LEONENKO, N.N. and Woyczynski, W.A., (1998), Exact parabolic asymptotics for singular n-D Burgers' random fields: Gaussian approximation, Stoch. Proc..& Appl., 76, 141-165
Anh, V.V. and LEONENKO, N.N., (1999), Non-Gaussian scenarios for the heat equation with singular initial conditions, Stoch. Proc.& Appl, 84, 91-114
Anh, V.V. and LEONENKO, N.N., (2002), Renormalization and homogenization of fractional diffusion equations with random data, Probability Theory & Related Fields, 124, N3, 381-408
Anh, V.V., Heyde, C.C and LEONENKO, N.N., (2002), Dynamic models of long-memory processes driven by Lévy noise with applications to finance and macroeconomics, Journal of Applied Probability, 39, N4, 730-74
Anh, V.V., LEONENKO, N.N. and Sakhno, L.M., (2007) Statistical inference using higher-order information, Journal of Multivariate Analysis, Vol. 98, 706-742
Kelbert, M., LEONENKO, N.N. and Ruiz-Medina, M. D., (2005) Fractional random fields associated with stochastic fractional heat equation, Advanced of Applied Probability, 37, N1, 108-133
Barndorff-Nielsen, O.E., LEONENKO, N.N., (2005) Burgers turbulence problem with linear or quadratic potential, Journal of Applied Probability, 42, N2, 550-565
Heyde, C.C. and LEONENKO, N.N., (2005) Student Processes, Advances of Applied Probability, 37, N2, 342-365
LEONENKO N.N, Pronzato, L. and Savani, V., (2008) , A class of Renyi information estimators for multidimensional densities, 36, N5, Annals of Statistics, 2153-2182
Research
External Funding Since 2000
1) I was awarded an Australian Research Council Discovery grant (DP034455477) "Statistical estimation and approximation of anomalous diffusion" as Partner Investigator in collaboration with C.C. Heyde (The Australian National University) and V.V. Anh (Queensland University of Technology, Brisbane, Australia). This grant will cover years 2003-2005 with A$ 65 000 per year.
2) I was awarded an EPSRC grant EP/D057361; “Fractional Models of Anomalous Diffusion with Applications to Macroeconomics, Finance and Turbulence” GR/S10186 (RCMTO91) as Principal Investigator. This grant covered years 2003-2005 with total cost on grant £9900. This grant for collaboration with O. E. Barndorff-Nielsen (Aarhus University, Denmark), E.Orsinger (University of Roma, Italy) V.Anh Queensland University of Technology, Brisbane, Australia) and W. Woyczynski (Case Western Reserve University, Ohio,USA)
3) I was awarded an Australian Research Council Discovery grant:” Statistical modelling of spatiotemporal nonlinear diffusions processes with multifractal chracteristics” (the Project ID: DP0559807) as Partner Investigator in collaboration with V.V. Anh (Queensland University of Technology, Brisbane, Australia), Lau, K.S. (Chinese University of Hong Kong), Angulo, J. M. and Ruiz-Medina, L.M. (University of Granada, Spain) .This grant covers years 2005-2009 with A$ 353 000.
4) I was awarded a new EPSRC grant EP/D057361 (RCMT119): “Limit theorems for spatio-temporal random fields and related topics” as Principal Investigator for the years 2006-2009 with total cost £10379. This grant is for collaboration with C.C. Heyde (The Australian National University and Columbia University, USA), M.S. Taqqu (Boston University, USA), V.Anh (Queensland University of Technology, Brisbane, Australia) and E. Taufer (University of Trento, Italy).
5) I was awarded a grant supported of DGI (Dirección General de Investigación) of Ministry of Education and Science of Spain, and FEDER funds (Euopean funds) for collaboration with professors J.M. Angulo and Maria D. Ruiz Medina (University of Granada, Spain). The title of the grant is: Modelling and Statistical Analysis of Local Characteristics and Memory Properties for Spatiotemporal Data. REFERENCE NUMBER: MTM2005-08597. This grant covers years 2005-2008 with 48000 €.
6) I am a partner investigator on the JSPS (Japan) grant project “Advances and new methods for prediction theory and Tauberian theorems with application to stochastic analysis of stochastic processes with memory” (the Principal Investigator is A/Prof. A. Inoue, Department of Mathematics, Hokkaido University, Japan).
7) Grant of London Mathematical Society (2007) 2632 for invitation to UK (Edinburg, Cardiff, Swansea) professor Florin Avram (University of Pau, France), £1000.
8) I was awarded a grant supported of DGI (Dirección General de Investigación) of Ministry of Education and Science of Spain, and FEDER funds (Euopean funds) for collaboration with professors M. D. Ruiz Medina and J.M. Angulo (University of Granada, Spain). The title of the grant is: Wavelet Methods for Inference from Functional Data in Singular Spaces. REFERENCE NUMBER: MTM2008-03903. This grant covers year 2009 with 27000 € .
9) I am Principal Investigator of the Grant RCMT152 Commission of the European Communities PIRSES-GA-2008-230804 (Marie Curie) “Multi-parameter Multi-fractional Brownian Motion” for collaboration of Cardiff University and CNRS, Nancy (France); Kyiv National Taras Shevchenko University (Ukraine) and Bar Ilan University (Israel). This grant covers years 2009-2011 with 90000 €
Major Conference Talks Since 2004
2nd Spanish Workshop on Spatio-Temporal Modelling of Environment Processes,
(Granada, Spain, 2004), Invited Lecture
Workshop on Stochastic Processes and Related Topics,
(Swansea, UK, 2005), Invited Lecture
International Conference: Modern Problems and New Trends in probability Theory (Chernivtsi, Ukraine, 2005), Invited Lecture
W-optimal design and related statistical issues (Jouan les Pins, France, 2005), Invited Lecture
Modern stochastics: theory and applications (Kyiv, Ukraine, 2006), Invited Lecture,
Organiser of Section: Limit theorems.
Workshop on Stochastic Analysis, (Swansea, UK, 2007), Invited Lecture
Workshop “Recent Developments in Finance and Applied Statistics” (National Australian University, Canberra, Australia, 2007), Invited Lecture
Statistics for Dependent Data (StatsDep) (Paris, France, 2008), Invited Lecture
Croatian Congress of Mathematics (Osijek, Croatia, 2008), Invited Lecture
International Conference on Probablity and Statistics with Applications, (Debrecen, Hungary, 2009, 8-10 June), Invited Lecture
Modern stochastics: theory and applications (Kyiv, Ukraine, 2010), Invited Lecture, Organiser of Section: Limit theorems.
Postgraduate Students
Research Students at Cardiff University:
E. Taufer (2002-2004): passed through PhD examination in December 2004.
Bakeerathan Gunaratnam (2006-2007): passed through examination in December 2007 (M. Phil program).
S.Petherick (2007-2010), PhD program.
A. Kress (2011-2014), PhD program.
Research students at other Universities:
N.Suvak (2008-2010), PhD program at Osijek University (Croatia).
Past: As a major Professor, advised 16 scientists who received a Ph.D. in Probability Theory and Mathematical Statistics. They work at different Universities of Ukraine, USA, Australia, Italy, Israel, Uzbekistan, Vietnam, Poland, Croatia and Egypt.
Biography
Msc –1973
PhD – 1976
Doctor of Science Degree-1990
Graduated from Mathematical-Mechanics Faculty of Kyiv University, 1973 (Msc).
Ph.D. in Physics and Mathematics (Probability Theory and Mathematical Statistics) from Moscow Institute for Electronic Constructions (MIEM) in 1976,
PhD title: Central limit theorem for random fields and some problems of statistics.
Science Doctor Degree (Habilitation) in Physics and Mathematics (Probability Theory and Mathematical Statistics) from Institute of Mathematics Academy of Sciences of Ukraine in 1990, Kyiv, Title: Limit theorems for functionals of homogeneous isotropic random fields and related topics.
Previous Positions
Engineer, Inst. of Cybernetics Acad. of Sci. of Ukraine, Kyiv, 1973-1976
Senior Scientific Researcher, Inst. of Cybernetics Acad. of Sci. of Ukraine, Kyiv, 1976-1977
Assistant-professor, Kyiv University, 1977-1980
Associate professor, Kyiv University, 1980-1991
Professor, Kyiv University, 1991-2002.
Research/Senior Research Associate in Statistics, Queensland University of Technology, Brisbane, 1999-2000 Lecturer, Cardiff University, 2000-2003
Reader, Cardiff University, 2003-2006.
Professor, Cardiff University, 2006-to date.