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A Conversation with Murray Rosenblatt David R Statistical Science 2009, Vol. 24, No. 1, 116–140 DOI: 10.1214/08-STS267 © Institute of Mathematical Statistics, 2009 A Conversation with Murray Rosenblatt David R. Brillinger and Richard A. Davis In Memory of Ady Rosenblatt 1926-2009. Abstract. On an exquisite March day in 2006, David Brillinger and Richard Davis sat down with Murray and Ady Rosenblatt at their home in La Jolla, California for an enjoyable day of reminiscences and conversation. Our men- tor, Murray Rosenblatt, was born on September 7, 1926 in New York City and attended City College of New York before entering graduate school at Cornell University in 1946. After completing his Ph.D. in 1949 under the direction of the renowned probabilist Mark Kac, the Rosenblatts’ moved to Chicago where Murray became an instructor/assistant professor in the Com- mittee of Statistics at the University of Chicago. Murray’s academic career then took him to the University of Indiana and Brown University before his joining the University of California at San Diego in 1964. Along the way, Murray established himself as one of the most celebrated and leading fig- ures in probability and statistics with particular emphasis on time series and Markov processes. In addition to being a fellow of the Institute of Mathemat- ical Statistics and American Association for the Advancement of Science, he was a Guggenheim fellow (1965–1966, 1971–1972) and was elected to the National Academy of Sciences in 1984. Among his many contributions, Mur- ray conducted seminal work on density estimation, central limit theorems under strong mixing, spectral domain methods and long memory processes. Murray and Ady Rosenblatt were married in 1949 and have two children, Karin and Daniel. Key words and phrases: Murray Rosenblatt, time series, Markov processes, density estimation, strong mixing, central limit theorem, long range depen- dence, Chicago, Indiana, Brown, University of California at San Diego. WHEN MURRAY MET ADY that was interesting you dropped over the same day that Murray did.” And I said “Oh yeah, we were together.” Richard: Ady, how did you and Murray meet? Things went down after that. I guess we were married Ady: We met in the Fordham Road library. He came when we were around 23 in 1949. I was older, I was 23 over and we talked and went for a walk in the pour- and he was still 22. We were in Ithaca. I waited until he ing rain. We walked over to his girlfriend’s house. She finished graduate school. wasn’t home, so we left a message with her sister or Richard: whatever. The next day his girlfriend said to me “Oh, I guess he was a little slow! Were you at- tending Cornell at the same time? Ady: No, I had a job teaching swimming in NYC. David Brillinger is Professor of Statistics, Department of Statistics, University of California, Berkeley, CA We saw each other more or less during the war and 94720-3860, USA (e-mail: [email protected]). then he went up to Cornell and I would go up and visit Richard Davis is Howard Levene Professor of Statistics, him every now and then. Department of Statistics, 1255 Amsterdam Avenue, Richard: So you met in high school. Columbia University, New York, NY 10027, USA (e-mail: Ady: No, we met after high school. [email protected]). Richard: But you graduated when you were 16? 116 A CONVERSATION WITH MURRAY ROSENBLATT 117 home from Murray’s girlfriend’s house in the rain, he caught a cold. His mother was not happy with me when she met me because I gave him that. Richard: So you didn’t make a good first impres- sion! David: How about your parents? Ady: My father’s parents came from Poland. He and his younger sister were born in America. The rest of his siblings were born in Poland. And my mother’s family came from Hungary and Austria. My grandfather was Hungarian. They were all Jewish. Richard: Murray had one sibling? Ady: Yes, Murray had one brother David, who was always a major influence on him. Murray: Oh, yes. Although I didn’t always follow his advice, I found it useful to listen to. ATTENDING CCNY AND CORNELL Richard: Murray, back at CCNY, one of your pro- fessors, Emil Post, seemed to have made quite an im- pact on you. Murray: Actually, Post was a remarkable character. I think he is, at least on the American scene, maybe internationally, one of the great figures in mathemati- cal logic. Because he was manic-depressive he used to get into these manic states occasionally and had to be institutionalized. Also he was one-armed. He actually did some real analysis too. I took a class in real analy- sis with him. He was following some book with an in- credible number of errors, which he corrected. And he was sort of a perfectionist. There’s an amusing story. FIG.2. Murray with his older brother David around 1928. Martin Davis, a fellow student, who’s a well-known figure in mathematical logic today who has done some Ady to Murray: Weren’t we 16 when we gradu- remarkable work, was also in the class. Post used to as- ated? sign problems and have people come up to the board. Murray: Probably. I guess at one point he asked me and I guess I was Ady: Maybe I was 17, I don’t know because I was starting in a particular direction and he was about to born in April. I don’t remember when I graduated. I re- cut me off when Davis said why don’t you let him go member when I got married! on, which you might say saved me at that point. But David: Do you remember the best man and maid of I took a reading course with him later on, this per- honor at your wedding? son who was so formal in the class, turned out to be Ady: I think it was Bert and Shirley Yood. a very pleasant human. He used a book, actually a very Murray: Bert Yood was a specialist on Banach alge- lovely book by a French mathematician by the name bras. I remember taking a course from him on Banach of C. de la Vallée Poussin. The book [18]washisIn- algebras as a graduate student. tégrales de Lebesgue, Fonctions d’Ensemble, Classes David: Were your parents and his parents immi- de Baire published in 1916. I may have a copy of it. It grants? was actually a very elegant book and it was a pleasant Ady: No, his parents were immigrants. His father reading course to take with him, and have occasion- was from Russia (now Ukraine) and his mother was ally some interchanges with him. I have rather pleasant from Poland. They met in the States. After we walked memories of that. 118 D. R. BRILLINGER AND R. A. DAVIS FIG.1. Wedding photo (1949). David: Was he an American? don’t see it’s obvious. It took two to three lectures to Murray: Oh yes, he was American. Probably at go through the full development. that time he was the most distinguished member of Richard: You went to Cornell with the idea of study- the CCNY mathematics faculty. Unfortunately, at one ing mathematics with no particular specialty in mind? point I came into class and he was enthusiastic. That Murray: Yes, it was mathematics. I guess there were was a sign that he was entering a manic phase. They two opportunities at that time, either Brown or Cornell. took him off to treatment I assume. For whatever reasons, I chose Cornell. Richard: What other courses did you take at CCNY? Ady: Didn’t they give you a better salary? I was just wondering how you became interested in Murray: I’m sure they did. There were younger probability and statistics. people with a good deal of interest in probability the- Murray: I remember taking courses at City College ory too. Gilbert Hunt was there and so was Kai Lai in mathematical physics and thermodynamics. I prob- Chung. And in one year there were quite a number of ably didn’t have any interest in probability and sta- visitors, Doob, Donsker, Darling and various of Doob’s tistics then. I went to Cornell as a graduate student students, I guess. There must have been Laurie Snell and William Feller and Mark Kac were on the faculty. and John Kinney. So there was a good deal of activ- I took most of the courses in probability theory with ity in that area. I guess I probably took a course in Feller. I wrote my thesis with Mark Kac as my ad- mathematical statistics and I suppose it was given by visor. Feller was a remarkable mathematician but had Feller. It was good as a student to be working on a the- very strong but humorous opinions and great enthusi- sis under Kac—you knew with Kac, you could come asm. A fellow student, Samuel Goldberg, and I used to in and talk with him if you wanted to and you would take notes on Feller’s lectures. Feller thanked him in get good advice. He didn’t have strong opinions about the introduction in his well-known book on probabil- this being the direction to go into while Feller did have ity theory, the lovely book on introductory probability such propensities. Mario Juncosa was a graduate stu- theory. At the beginning of a discussion of the 3 series dent with me there. We still keep in contact with him; theorem, Feller said isn’t it obvious? I guess some of he has been at Rand for many years and Juncosa was a us had enough self-preservation or ego to say no, we student of Feller’s.
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