Mahmoudi, Mohammad Reza; Mosavi, Amir Cyclocopula technique to study the relationship between two cyclostationary time series with fractional Brownian motion errors. (English) Zbl 07577997 Fractals 30, No. 5, Article ID 2240137, 9 p. (2022). MSC: 62Hxx 62Mxx 62Jxx PDFBibTeX XMLCite \textit{M. R. Mahmoudi} and \textit{A. Mosavi}, Fractals 30, No. 5, Article ID 2240137, 9 p. (2022; Zbl 07577997) Full Text: DOI arXiv
Vasylyk, O. I.; Rozora, I. V.; Ianevych, T. O.; Lovyts’ka, I. I. On some method on model construction for strictly \(\varphi\)-sub-Gaussian generalized fractional Brownian motion. (Ukrainian. English summary) Zbl 1488.60075 Visn., Ser. Fiz.-Mat. Nauky, Kyïv. Univ. Im. Tarasa Shevchenka 2021, No. 2, 18-25 (2021). MSC: 60G07 60G17 60G70 PDFBibTeX XMLCite \textit{O. I. Vasylyk} et al., Visn., Ser. Fiz.-Mat. Nauky, Kyïv. Univ. Im. Tarasa Shevchenka 2021, No. 2, 18--25 (2021; Zbl 1488.60075) Full Text: DOI
Pozdnyakov, V.; Elbroch, L. M.; Hu, C.; Meyer, T.; Yan, J. On estimation for Brownian motion governed by telegraph process with multiple off states. (English) Zbl 1457.62247 Methodol. Comput. Appl. Probab. 22, No. 3, 1275-1291 (2020). MSC: 62M05 60J65 62P10 92D50 PDFBibTeX XMLCite \textit{V. Pozdnyakov} et al., Methodol. Comput. Appl. Probab. 22, No. 3, 1275--1291 (2020; Zbl 1457.62247) Full Text: DOI arXiv
Gerolimetto, Margherita; Magrini, Stefano Testing for boundary conditions in case of fractionally integrated processes. (English) Zbl 1457.62263 Stat. Methods Appl. 29, No. 2, 357-371 (2020). MSC: 62M10 62G10 62G09 62P20 60G22 65C05 PDFBibTeX XMLCite \textit{M. Gerolimetto} and \textit{S. Magrini}, Stat. Methods Appl. 29, No. 2, 357--371 (2020; Zbl 1457.62263) Full Text: DOI
Jhwueng, Dwueng-Chwuan Modeling rate of adaptive trait evolution using Cox-Ingersoll-Ross process: an approximate Bayesian computation approach. (English) Zbl 1510.62049 Comput. Stat. Data Anal. 145, Article ID 106924, 19 p. (2020). MSC: 62-08 62F15 68R10 91G30 PDFBibTeX XMLCite \textit{D.-C. Jhwueng}, Comput. Stat. Data Anal. 145, Article ID 106924, 19 p. (2020; Zbl 1510.62049) Full Text: DOI
Dingeç, Kemal Dinçer Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions. (English) Zbl 1499.91171 Int. J. Comput. Math. 96, No. 12, 2441-2460 (2019). MSC: 91G60 65C05 91G20 PDFBibTeX XMLCite \textit{K. D. Dingeç}, Int. J. Comput. Math. 96, No. 12, 2441--2460 (2019; Zbl 1499.91171) Full Text: DOI
Chiba, Kohei Estimation of the lead-lag parameter between two stochastic processes driven by fractional Brownian motions. (English) Zbl 1432.62285 Stat. Inference Stoch. Process. 22, No. 3, 323-357 (2019). MSC: 62M09 60G22 PDFBibTeX XMLCite \textit{K. Chiba}, Stat. Inference Stoch. Process. 22, No. 3, 323--357 (2019; Zbl 1432.62285) Full Text: DOI arXiv
Chae, Minwoo; Martin, Ryan; Walker, Stephen G. On an algorithm for solving Fredholm integrals of the first kind. (English) Zbl 1430.62127 Stat. Comput. 29, No. 4, 645-654 (2019). MSC: 62H30 60J70 45B05 PDFBibTeX XMLCite \textit{M. Chae} et al., Stat. Comput. 29, No. 4, 645--654 (2019; Zbl 1430.62127) Full Text: DOI arXiv
Sanchez-Ortiz, Jorge; Ariza-Hernandez, Francisco J.; Arciga-Alejandre, Martin P.; Garcia-Murcia, Eduard A. Stochastic diffusion equation with fractional Laplacian on the first quadrant. (English) Zbl 1426.35230 Fract. Calc. Appl. Anal. 22, No. 3, 795-806 (2019). MSC: 35R11 31A10 PDFBibTeX XMLCite \textit{J. Sanchez-Ortiz} et al., Fract. Calc. Appl. Anal. 22, No. 3, 795--806 (2019; Zbl 1426.35230) Full Text: DOI
Shi, X.; Wong, A.; Zheng, S. Approximations of the cumulative distribution function for infinite weighted sum of random variables. (English) Zbl 1460.62026 Stat. Probab. Lett. 155, Article ID 108567, 7 p. (2019). MSC: 62E17 62E20 60G50 60J65 PDFBibTeX XMLCite \textit{X. Shi} et al., Stat. Probab. Lett. 155, Article ID 108567, 7 p. (2019; Zbl 1460.62026) Full Text: DOI
Coeurjolly, Jean-Francois; Porcu, Emilio Fast and exact simulation of complex-valued stationary Gaussian processes through embedding circulant matrix. (English) Zbl 07498946 J. Comput. Graph. Stat. 27, No. 2, 278-290 (2018). MSC: 62-XX PDFBibTeX XMLCite \textit{J.-F. Coeurjolly} and \textit{E. Porcu}, J. Comput. Graph. Stat. 27, No. 2, 278--290 (2018; Zbl 07498946) Full Text: DOI arXiv
Kilianová, Soňa; Letko, Boris An empirical study on using Hurst exponent estimation methods for pricing call options by fractional Black-Scholes model. (English) Zbl 1409.91238 Risk Decis. Anal. 7, No. 1-2, 51-62 (2018). MSC: 91G20 60G22 91-04 PDFBibTeX XMLCite \textit{S. Kilianová} and \textit{B. Letko}, Risk Decis. Anal. 7, No. 1--2, 51--62 (2018; Zbl 1409.91238) Full Text: DOI
Messer, Michael; Albert, Stefan; Schneider, Gaby The multiple filter test for change point detection in time series. (English) Zbl 1415.62065 Metrika 81, No. 6, 589-607 (2018). Reviewer: Romeo Negrea (Timişoara) MSC: 62M10 62M07 60J65 PDFBibTeX XMLCite \textit{M. Messer} et al., Metrika 81, No. 6, 589--607 (2018; Zbl 1415.62065) Full Text: DOI
Iacus, Stefano M.; Yoshida, Nakahiro Simulation and inference for stochastic processes with YUIMA. A comprehensive R framework for SDEs and other stochastic processes. (English) Zbl 1458.60004 Use R!. Cham: Springer (ISBN 978-3-319-55567-6/pbk; 978-3-319-55569-0/ebook). xiii, 268 p. (2018). Reviewer: Irina Ioana Mohorianu (Oxford) MSC: 60-02 60-04 60G05 68N15 PDFBibTeX XMLCite \textit{S. M. Iacus} and \textit{N. Yoshida}, Simulation and inference for stochastic processes with YUIMA. A comprehensive R framework for SDEs and other stochastic processes. Cham: Springer (2018; Zbl 1458.60004) Full Text: DOI
Broemeling, Lyle D. Bayesian inference for stochastic processes. (English) Zbl 1390.62003 Boca Raton, FL: CRC Press (ISBN 978-1-138-19613-1/hbk; 978-1-315-30358-1/ebook). xv, 432 p. (2018). Reviewer: Ludwig Paditz (Dresden) MSC: 62-02 62M99 62M10 62M05 62F15 62P10 62-04 60J22 60J65 60J76 62M30 60G55 PDFBibTeX XMLCite \textit{L. D. Broemeling}, Bayesian inference for stochastic processes. Boca Raton, FL: CRC Press (2018; Zbl 1390.62003) Full Text: Link
Kordzakhia, Nino; Novikov, Alexander; Ycart, Bernard Approximations for weighted Kolmogorov-Smirnov distributions via boundary crossing probabilities. (English) Zbl 1384.62150 Stat. Comput. 27, No. 6, 1513-1523 (2017). MSC: 62G10 60J65 62P10 PDFBibTeX XMLCite \textit{N. Kordzakhia} et al., Stat. Comput. 27, No. 6, 1513--1523 (2017; Zbl 1384.62150) Full Text: DOI
Kubilius, K.; Skorniakov, V.; Melichov, D. Estimation of parameters of SDE driven by fractional Brownian motion with polynomial drift. (English) Zbl 1510.62341 J. Stat. Comput. Simulation 86, No. 10, 1954-1969 (2016). MSC: 62M05 60G22 62P05 PDFBibTeX XMLCite \textit{K. Kubilius} et al., J. Stat. Comput. Simulation 86, No. 10, 1954--1969 (2016; Zbl 1510.62341) Full Text: DOI arXiv
Kubilius, Kęstutis; Melichov, Dmitrij Exact confidence intervals of the extended Orey index for Gaussian processes. (English) Zbl 1351.60039 Methodol. Comput. Appl. Probab. 18, No. 3, 785-804 (2016). MSC: 60G15 62F25 60F05 60H07 60G22 PDFBibTeX XMLCite \textit{K. Kubilius} and \textit{D. Melichov}, Methodol. Comput. Appl. Probab. 18, No. 3, 785--804 (2016; Zbl 1351.60039) Full Text: DOI arXiv
Tamborrino, Massimiliano Approximation of the first passage time density of a Wiener process to an exponentially decaying boundary by two-piecewise linear threshold. Application to neuronal spiking activity. (English) Zbl 1351.60111 Math. Biosci. Eng. 13, No. 3, 613-629 (2016). MSC: 60J65 60G40 60J70 62F10 92C20 PDFBibTeX XMLCite \textit{M. Tamborrino}, Math. Biosci. Eng. 13, No. 3, 613--629 (2016; Zbl 1351.60111) Full Text: DOI arXiv
Brockwell, Peter J.; Davis, Richard A. Introduction to time series and forecasting. 3rd edition. (English) Zbl 1355.62001 Springer Texts in Statistics. Cham: Springer (ISBN 978-3-319-29852-8/hbk; 978-3-319-29854-2/ebook). xiv, 425 p. (2016). Reviewer: Hans-Jürgen Schmidt (Potsdam) MSC: 62-01 62M10 62M20 62-04 62M15 62P05 62P20 62P25 62P30 62H05 62P35 60G25 60J65 PDFBibTeX XMLCite \textit{P. J. Brockwell} and \textit{R. A. Davis}, Introduction to time series and forecasting. 3rd edition. Cham: Springer (2016; Zbl 1355.62001) Full Text: DOI
Dobrow, Robert P. Introduction to stochastic processes with R. (English) Zbl 1360.60001 Hoboken, NJ: John Wiley & Sons (ISBN 978-1-118-74065-1/hbk; 978-1-118-74071-2/ebook). xxi, 479 p. (2016). Reviewer: Evgueni Spodarev (Ulm) MSC: 60-01 60G05 60Gxx 68N15 PDFBibTeX XMLCite \textit{R. P. Dobrow}, Introduction to stochastic processes with R. Hoboken, NJ: John Wiley \& Sons (2016; Zbl 1360.60001) Full Text: DOI
Arciga Alejandre, Martin P.; Ariza Hernandez, Francisco J.; Sanchez Ortiz, Jorge Stochastic evolution equation with Riesz-fractional derivative and white noise on the half-line. (English) Zbl 1336.65009 Appl. Numer. Math. 104, 103-109 (2016). MSC: 65C30 60H15 60H35 35R60 35R11 35K20 PDFBibTeX XMLCite \textit{M. P. Arciga Alejandre} et al., Appl. Numer. Math. 104, 103--109 (2016; Zbl 1336.65009) Full Text: DOI
Bartoszek, Krzysztof; Sagitov, Serik A consistent estimator of the evolutionary rate. (English) Zbl 1339.92055 J. Theor. Biol. 371, 69-78 (2015). MSC: 92D15 60J85 PDFBibTeX XMLCite \textit{K. Bartoszek} and \textit{S. Sagitov}, J. Theor. Biol. 371, 69--78 (2015; Zbl 1339.92055) Full Text: DOI arXiv
Tamborrino, Massimiliano; Ditlevsen, Susanne; Lansky, Peter Parameter inference from hitting times for perturbed Brownian motion. (English) Zbl 1322.62091 Lifetime Data Anal. 21, No. 3, 331-352 (2015). MSC: 62F10 60J65 62N02 62P10 92C50 PDFBibTeX XMLCite \textit{M. Tamborrino} et al., Lifetime Data Anal. 21, No. 3, 331--352 (2015; Zbl 1322.62091) Full Text: DOI arXiv
Arratia, Argimiro Computational finance. An introductory course with R. (English) Zbl 1309.91001 Atlantis Studies in Computational Finance and Financial Engineering 1. Amsterdam: Atlantis Press (ISBN 978-94-6239-069-0/hbk; 978-94-6239-070-6/ebook). x, 301 p. (2014). Reviewer: Vassil Grozdanov (Blagoevgrad) MSC: 91-01 91G60 91-08 91-04 91G10 91G20 91G70 91B84 62P05 60H30 65C05 90C59 90C90 PDFBibTeX XMLCite \textit{A. Arratia}, Computational finance. An introductory course with R. Amsterdam: Atlantis Press (2014; Zbl 1309.91001) Full Text: DOI
Rea, William; Oxley, Les; Reale, Marco; Brown, Jennifer Not all estimators are born equal: the empirical properties of some estimators of long memory. (English) Zbl 1499.62320 Math. Comput. Simul. 93, 29-42 (2013). MSC: 62M10 60G22 62M07 PDFBibTeX XMLCite \textit{W. Rea} et al., Math. Comput. Simul. 93, 29--42 (2013; Zbl 1499.62320) Full Text: DOI
Hughes, John; Shastry, Shankar; Hancock, William O.; Fricks, John Estimating velocity for processive motor proteins with random detachment. (English) Zbl 1303.62076 J. Agric. Biol. Environ. Stat. 18, No. 2, 204-217 (2013). MSC: 62P12 PDFBibTeX XMLCite \textit{J. Hughes} et al., J. Agric. Biol. Environ. Stat. 18, No. 2, 204--217 (2013; Zbl 1303.62076) Full Text: DOI Link
Dassios, Angelos; Lim, Jia Wei Parisian option pricing: a recursive solution for the density of the Parisian stopping time. (English) Zbl 1295.91098 SIAM J. Financ. Math. 4, 599-615 (2013). Reviewer: Vassil Grozdanov (Blagoevgrad) MSC: 91G60 91G20 60J65 60J70 58J65 PDFBibTeX XMLCite \textit{A. Dassios} and \textit{J. W. Lim}, SIAM J. Financ. Math. 4, 599--615 (2013; Zbl 1295.91098) Full Text: DOI Link
Lai, Dejian Sample size determination for group sequential test under fractional Brownian motion. (English) Zbl 1349.62549 Electron. J. Stat. 7, 1957-1967 (2013). MSC: 62P10 62L10 60G22 PDFBibTeX XMLCite \textit{D. Lai}, Electron. J. Stat. 7, 1957--1967 (2013; Zbl 1349.62549) Full Text: DOI Euclid
Wishart, Justin Rory Wavelet deconvolution in a periodic setting with long-range dependent errors. (English) Zbl 1259.62075 J. Stat. Plann. Inference 143, No. 5, 867-881 (2013). MSC: 62M09 65T60 62G05 65C60 62G07 PDFBibTeX XMLCite \textit{J. R. Wishart}, J. Stat. Plann. Inference 143, No. 5, 867--881 (2013; Zbl 1259.62075) Full Text: DOI arXiv
Sagitov, Serik; Bartoszek, Krzysztof Interspecies correlation for neutrally evolving traits. (English) Zbl 1411.92222 J. Theor. Biol. 309, 11-19 (2012). MSC: 92D15 60J70 PDFBibTeX XMLCite \textit{S. Sagitov} and \textit{K. Bartoszek}, J. Theor. Biol. 309, 11--19 (2012; Zbl 1411.92222) Full Text: DOI arXiv
Gneiting, Tilmann; Ševčíková, Hana; Percival, Donald B. Estimators of fractal dimension: assessing the roughness of time series and spatial data. (English) Zbl 1330.62354 Stat. Sci. 27, No. 2, 247-277 (2012). MSC: 62M30 62F10 62M10 60G22 PDFBibTeX XMLCite \textit{T. Gneiting} et al., Stat. Sci. 27, No. 2, 247--277 (2012; Zbl 1330.62354) Full Text: DOI arXiv Euclid
Lopes, Hedibert Freitas Book review of: Christian P. Robert and George Casella, Introducing Monte Carlo methods with R. (English) Zbl 1314.00041 J. Am. Stat. Assoc. 106, No. 493, 377 (2011). MSC: 00A17 65C05 11K45 65C10 65C20 65C40 65C35 62J10 65K05 65C60 65-02 62D05 60J65 62-01 62-04 90C15 90C27 65Y15 PDFBibTeX XMLCite \textit{H. F. Lopes}, J. Am. Stat. Assoc. 106, No. 493, 377 (2011; Zbl 1314.00041) Full Text: DOI
Bischoff, W.; Gegg, A. Partial sum process to check regression models with multiple correlated response: with an application for testing a change-point in profile data. (English) Zbl 1327.60055 J. Multivariate Anal. 102, No. 2, 281-291 (2011). MSC: 60F05 60G15 62G10 62G20 62J05 PDFBibTeX XMLCite \textit{W. Bischoff} and \textit{A. Gegg}, J. Multivariate Anal. 102, No. 2, 281--291 (2011; Zbl 1327.60055) Full Text: DOI
Robert, Christian P.; Casella, George Monte-Carlo methods with R. Translated from the English by Joachim Robert, Robin Ryder, Arbel, Juyan, Pierre Jacob et Brigitte Plessis. (Méthodes de Monte Carlo avec R. Traduit de l’anglais par Joachim Robert, Robin Ryder, Arbel, Juyan, Pierre Jacob et Brigitte Plessis.) (French) Zbl 1216.65003 Pratique R. Paris: Springer (ISBN 978-2-8178-0180-3/pbk). xv, 256 p. (2011). MSC: 65C05 11K45 65C10 65C20 65C40 65C35 62J10 65K05 65C60 65-02 62D05 60J65 62-01 62-04 90C15 90C27 65Y15 PDFBibTeX XMLCite \textit{C. P. Robert} and \textit{G. Casella}, Méthodes de Monte Carlo avec R. Traduit de l'anglais par Joachim Robert, Robin Ryder, Arbel, Juyan, Pierre Jacob et Brigitte Plessis. Paris: Springer (2011; Zbl 1216.65003)
Gou, Tingting; Murdoch, Duncan Simulation of extremes of diffusions. (English. French summary) Zbl 1349.62521 Can. J. Stat. 38, No. 4, 738-755 (2010). MSC: 62P05 60J65 60J60 60G70 91G60 PDFBibTeX XMLCite \textit{T. Gou} and \textit{D. Murdoch}, Can. J. Stat. 38, No. 4, 738--755 (2010; Zbl 1349.62521) Full Text: DOI
Becker, Martin Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing. (English) Zbl 1182.60020 Comput. Manag. Sci. 7, No. 1, 1-17 (2010). MSC: 60J22 60J65 60J60 65C05 91G20 PDFBibTeX XMLCite \textit{M. Becker}, Comput. Manag. Sci. 7, No. 1, 1--17 (2010; Zbl 1182.60020) Full Text: DOI
Robert, Christian P.; Casella, George Introducing Monte Carlo methods with R. (English) Zbl 1196.65025 Use R!. New York, NY: Springer (ISBN 978-1-4419-1575-7/pbk; 978-1-4419-1576-4/ebook). xix, 283 p. (2010). Reviewer: Vassil Grozdanov (Blagoevgrad) MSC: 65C05 11K45 65C10 65C20 65C40 65C35 62J10 65K05 65C60 65-02 62D05 60J65 62-01 62-04 90C15 90C27 65Y15 PDFBibTeX XMLCite \textit{C. P. Robert} and \textit{G. Casella}, Introducing Monte Carlo methods with R. New York, NY: Springer (2010; Zbl 1196.65025) Full Text: DOI Link
Székely, Gábor J.; Rizzo, Maria L. Rejoinder: “Brownian distance covariance”. (English) Zbl 1284.62347 Ann. Appl. Stat. 3, No. 4, 1303-1308 (2009). MSC: 62H20 60J65 PDFBibTeX XMLCite \textit{G. J. Székely} and \textit{M. L. Rizzo}, Ann. Appl. Stat. 3, No. 4, 1303--1308 (2009; Zbl 1284.62347) Full Text: DOI arXiv
Székely, Gábor J.; Rizzo, Maria L. Brownian distance covariance. (English) Zbl 1196.62077 Ann. Appl. Stat. 3, No. 4, 1236-1265 (2009). MSC: 62H20 60J65 PDFBibTeX XMLCite \textit{G. J. Székely} and \textit{M. L. Rizzo}, Ann. Appl. Stat. 3, No. 4, 1236--1265 (2009; Zbl 1196.62077) Full Text: DOI arXiv
Hidot, Sullivan; Lafaye, Jean-Yves Experimental study of the influence of an irregular sample on the estimation of the Hurst parameter. (Étude expérimentale de l’influence d’un échantillonnage irrégulier dans l’estimation du paramètre de Hurst.) (French. English summary) Zbl 1455.62165 J. Soc. Fr. Stat. & Rev. Stat. Appl. 149, No. 1, 81-95 (2008). MSC: 62M09 60G22 62M10 PDFBibTeX XMLCite \textit{S. Hidot} and \textit{J.-Y. Lafaye}, J. Soc. Fr. Stat. \& Rev. Stat. Appl. 149, No. 1, 81--95 (2008; Zbl 1455.62165) Full Text: Link
Proschan, Michael A.; Lan, K. K. Gordon; Wittes, Janet Turk Statistical monitoring of clinical trials. A unified approach. (English) Zbl 1121.62098 Statistics for Biology and Health. New York, NY: Springer (ISBN 0-387-30059-7/hbk). xiii, 258 p. (2006). Reviewer: Christina Wunder (Heidelberg) MSC: 62P10 60J65 62-02 62N03 62N02 PDFBibTeX XMLCite \textit{M. A. Proschan} et al., Statistical monitoring of clinical trials. A unified approach. New York, NY: Springer (2006; Zbl 1121.62098) Full Text: DOI
Park, Chanseok; Padgett, W. J. A general class of cumulative damage models for materials failure. (English) Zbl 1103.62100 J. Stat. Plann. Inference 136, No. 11, 3783-3801 (2006). MSC: 62N05 62N02 62M05 PDFBibTeX XMLCite \textit{C. Park} and \textit{W. J. Padgett}, J. Stat. Plann. Inference 136, No. 11, 3783--3801 (2006; Zbl 1103.62100) Full Text: DOI