Fallah, Somayeh; Mehrdoust, Farshid CEV model equipped with the long-memory. (English) Zbl 07309617 J. Comput. Appl. Math. 389, Article ID 113359, 16 p. (2021). MSC: 91G20 60G22 PDF BibTeX XML Cite \textit{S. Fallah} and \textit{F. Mehrdoust}, J. Comput. Appl. Math. 389, Article ID 113359, 16 p. (2021; Zbl 07309617) Full Text: DOI
Beran, Jan; Sabzikar, Farzad; Surgailis, Donatas; Telkmann, Klaus On the empirical process of tempered moving averages. (English) Zbl 07287589 Stat. Probab. Lett. 167, Article ID 108902, 10 p. (2020). MSC: 62M10 62G20 60F17 PDF BibTeX XML Cite \textit{J. Beran} et al., Stat. Probab. Lett. 167, Article ID 108902, 10 p. (2020; Zbl 07287589) Full Text: DOI
Leipus, Remigijus; Philippe, Anne; Pilipauskaitė, Vytautė; Surgailis, Donatas Estimating long memory in panel random-coefficient AR(1) data. (English) Zbl 1448.62062 J. Time Ser. Anal. 41, No. 4, 520-535 (2020). MSC: 62G32 62G20 62M10 62D20 PDF BibTeX XML Cite \textit{R. Leipus} et al., J. Time Ser. Anal. 41, No. 4, 520--535 (2020; Zbl 1448.62062) Full Text: DOI
Asai, Manabu; Peiris, Shelton; McAleer, Michael; Allen, David E. Cointegrated dynamics for a generalized long memory process: application to interest rates. (English) Zbl 07243380 J. Time Ser. Econom. 12, No. 1, Article ID 20180024, 18 p. (2020). MSC: 62P20 PDF BibTeX XML Cite \textit{M. Asai} et al., J. Time Ser. Econom. 12, No. 1, Article ID 20180024, 18 p. (2020; Zbl 07243380) Full Text: DOI
Wang, Lihong Lack of fit test for long memory regression models. (English) Zbl 1443.62292 Stat. Pap. 61, No. 3, 1043-1067 (2020). MSC: 62M10 62G10 62G20 62J02 PDF BibTeX XML Cite \textit{L. Wang}, Stat. Pap. 61, No. 3, 1043--1067 (2020; Zbl 1443.62292) Full Text: DOI
Alomari, Huda Mohammed; Ayache, Antoine; Fradon, Myriam; Olenko, Andriy Estimation of cyclic long-memory parameters. (English) Zbl 1444.62097 Scand. J. Stat. 47, No. 1, 104-133 (2020). Reviewer: Claudia Simionescu-Badea (Wien) MSC: 62M10 62M15 60G07 42C40 PDF BibTeX XML Cite \textit{H. M. Alomari} et al., Scand. J. Stat. 47, No. 1, 104--133 (2020; Zbl 1444.62097) Full Text: DOI
Koul, Hira L.; Li, Fang Comparing two nonparametric regression curves in the presence of long memory in covariates and errors. (English) Zbl 1439.62192 Metrika 83, No. 4, 499-517 (2020). Reviewer: Claudia Simionescu-Badea (Wien) MSC: 62M10 62G08 62K20 60G07 PDF BibTeX XML Cite \textit{H. L. Koul} and \textit{F. Li}, Metrika 83, No. 4, 499--517 (2020; Zbl 1439.62192) Full Text: DOI
Zhou, Wenxin; Diao, Yifan; Li, Manman Long-term behavior of stochastic interest rate models with jumps and memory. (Chinese. English summary) Zbl 1449.91174 J. Chongqing Norm. Univ., Nat. Sci. 36, No. 4, 100-105 (2019). MSC: 91G30 60J74 PDF BibTeX XML Cite \textit{W. Zhou} et al., J. Chongqing Norm. Univ., Nat. Sci. 36, No. 4, 100--105 (2019; Zbl 1449.91174) Full Text: DOI
Okhrin, Yarema; Schmid, Wolfgang Stochastic inequalities for the run length of the EWMA chart for long-memory processes. (English) Zbl 1428.62516 REVSTAT 17, No. 1, 67-90 (2019). MSC: 62P30 62L10 62M10 PDF BibTeX XML Cite \textit{Y. Okhrin} and \textit{W. Schmid}, REVSTAT 17, No. 1, 67--90 (2019; Zbl 1428.62516) Full Text: Link
Kalemkerian, Juan; León, José Rafael Fractional iterated Ornstein-Uhlenbeck processes. (English) Zbl 1432.62300 ALEA, Lat. Am. J. Probab. Math. Stat. 16, No. 2, 1105-1128 (2019). MSC: 62M10 60G22 60G15 PDF BibTeX XML Cite \textit{J. Kalemkerian} and \textit{J. R. León}, ALEA, Lat. Am. J. Probab. Math. Stat. 16, No. 2, 1105--1128 (2019; Zbl 1432.62300) Full Text: Link
Betken, Annika; Kulik, Rafał Testing for change in long-memory stochastic volatility time series. (English) Zbl 1433.62252 J. Time Ser. Anal. 40, No. 5, 707-738 (2019). Reviewer: Wiesław Dziubdziela (Miedziana Góra) MSC: 62M10 60F17 62G10 PDF BibTeX XML Cite \textit{A. Betken} and \textit{R. Kulik}, J. Time Ser. Anal. 40, No. 5, 707--738 (2019; Zbl 1433.62252) Full Text: DOI
Bilayi-Biakana, Clémonell; Ivanoff, Gail; Kulik, Rafał The tail empirical process for long memory stochastic volatility models with leverage. (English) Zbl 1431.62354 Electron. J. Stat. 13, No. 2, 3453-3484 (2019). MSC: 62M10 62G32 PDF BibTeX XML Cite \textit{C. Bilayi-Biakana} et al., Electron. J. Stat. 13, No. 2, 3453--3484 (2019; Zbl 1431.62354) Full Text: DOI Euclid
Araya, Héctor; Bahamonde, Natalia; Torres, Soledad; Viens, Frederi Donsker type theorem for fractional Poisson process. (English) Zbl 07101597 Stat. Probab. Lett. 150, 1-8 (2019). MSC: 60F17 60G22 60G50 PDF BibTeX XML Cite \textit{H. Araya} et al., Stat. Probab. Lett. 150, 1--8 (2019; Zbl 07101597) Full Text: DOI
Doukhan, Paul; Jakubowski, Adam; Lopes, Silvia R. C.; Surgailis, Donatas Discrete-time trawl processes. (English) Zbl 07062617 Stochastic Processes Appl. 129, No. 4, 1326-1348 (2019). MSC: 60K99 60G22 60G52 60F17 PDF BibTeX XML Cite \textit{P. Doukhan} et al., Stochastic Processes Appl. 129, No. 4, 1326--1348 (2019; Zbl 07062617) Full Text: DOI
Song, Junmo; Baek, Changryong Detecting structural breaks in realized volatility. (English) Zbl 07027264 Comput. Stat. Data Anal. 134, 58-75 (2019). MSC: 62 PDF BibTeX XML Cite \textit{J. Song} and \textit{C. Baek}, Comput. Stat. Data Anal. 134, 58--75 (2019; Zbl 07027264) Full Text: DOI
Boguslavskaya, Elena; Mishura, Yuliya; Shevchenko, Georgiy Replication of Wiener-transformable stochastic processes with application to financial markets with memory. (English) Zbl 1423.60107 Silvestrov, Sergei (ed.) et al., Stochastic processes and applications. SPAS2017, Västerås and Stockholm, Sweden, October 4–6, 2017. Cham: Springer. Springer Proc. Math. Stat. 271, 335-361 (2018). MSC: 60H30 91B24 60G22 PDF BibTeX XML Cite \textit{E. Boguslavskaya} et al., Springer Proc. Math. Stat. 271, 335--361 (2018; Zbl 1423.60107) Full Text: DOI arXiv
Bardet, Jean-Marc Theoretical and numerical comparisons of the parameter estimator of the fractional Brownian motion. (English) Zbl 1420.62089 Diagana, Toka (ed.) et al., Mathematical structures and applications. In honor of Mahouton Norbert Hounkonnou. Selected papers based on the conference, Cotonou, Benin, October 29–30, 2016. Cham: Springer. STEAM-H, Sci. Technol. Eng. Agric. Math. Health, 153-173 (2018). MSC: 62F10 60G22 65C60 60F17 PDF BibTeX XML Cite \textit{J.-M. Bardet}, in: Mathematical structures and applications. In honor of Mahouton Norbert Hounkonnou. Selected papers based on the conference, Cotonou, Benin, October 29--30, 2016. Cham: Springer. 153--173 (2018; Zbl 1420.62089) Full Text: DOI
Fink, Holger; Schlüchtermann, Georg Fractional Lévy Cox-Ingersoll-Ross and Jacobi processes. (English) Zbl 1407.60055 Stat. Probab. Lett. 142, 84-91 (2018). MSC: 60G22 60H10 60H20 PDF BibTeX XML Cite \textit{H. Fink} and \textit{G. Schlüchtermann}, Stat. Probab. Lett. 142, 84--91 (2018; Zbl 1407.60055) Full Text: DOI
Mbeke, Kévin Stanislas; Hili, Ouagnina Estimation of a stationary multivariate ARFIMA process. (English. French summary) Zbl 1409.62175 Afr. Stat. 13, No. 3, 1717-1732 (2018). MSC: 62M10 62H12 62F12 PDF BibTeX XML Cite \textit{K. S. Mbeke} and \textit{O. Hili}, Afr. Stat. 13, No. 3, 1717--1732 (2018; Zbl 1409.62175) Full Text: DOI Euclid
Dissanayake, G. S.; Peiris, M. S.; Proietti, T. Fractionally differenced Gegenbauer processes with long memory: a review. (English) Zbl 1403.62160 Stat. Sci. 33, No. 3, 413-426 (2018). MSC: 62M10 62P20 PDF BibTeX XML Cite \textit{G. S. Dissanayake} et al., Stat. Sci. 33, No. 3, 413--426 (2018; Zbl 1403.62160) Full Text: DOI Euclid
Chau, Oanh Numerical analysis of a thermal contact problem with adhesion. (English) Zbl 1402.74082 Comput. Appl. Math. 37, No. 4, 5424-5455 (2018). MSC: 74M15 74M10 74F05 74S05 74S20 PDF BibTeX XML Cite \textit{O. Chau}, Comput. Appl. Math. 37, No. 4, 5424--5455 (2018; Zbl 1402.74082) Full Text: DOI
Griffin, Jim; Kalli, Maria; Steel, Mark Discussion of “Nonparametric Bayesian inference in applications”: Bayesian nonparametric methods in econometrics. (English) Zbl 1396.62058 Stat. Methods Appl. 27, No. 2, 207-218 (2018). MSC: 62G05 62F15 62P20 91B84 PDF BibTeX XML Cite \textit{J. Griffin} et al., Stat. Methods Appl. 27, No. 2, 207--218 (2018; Zbl 1396.62058) Full Text: DOI
Pham, Viet Son; Chong, Carsten Volterra-type Ornstein-Uhlenbeck processes in space and time. (English) Zbl 1405.60064 Stochastic Processes Appl. 128, No. 9, 3082-3117 (2018). MSC: 60G51 60G10 60G17 60G60 60J75 PDF BibTeX XML Cite \textit{V. S. Pham} and \textit{C. Chong}, Stochastic Processes Appl. 128, No. 9, 3082--3117 (2018; Zbl 1405.60064) Full Text: DOI
Kasri, Abderrezak; Touzaline, Arezki Analysis and numerical approximation of a dynamic contact problem with friction and adhesion. (English) Zbl 06911337 Appl. Math. 45, No. 1, 103-127 (2018). MSC: 47J20 65M60 74M10 74M15 PDF BibTeX XML Cite \textit{A. Kasri} and \textit{A. Touzaline}, Appl. Math. 45, No. 1, 103--127 (2018; Zbl 06911337) Full Text: DOI
Steland, Ansgar; von Sachs, Rainer Asymptotics for high-dimensional covariance matrices and quadratic forms with applications to the trace functional and shrinkage. (English) Zbl 1391.60061 Stochastic Processes Appl. 128, No. 8, 2816-2855 (2018). MSC: 60F17 62E20 PDF BibTeX XML Cite \textit{A. Steland} and \textit{R. von Sachs}, Stochastic Processes Appl. 128, No. 8, 2816--2855 (2018; Zbl 1391.60061) Full Text: DOI arXiv
Kasri, Abderrezak; Touzaline, Arezki Analysis and numerical approximation of a frictional contact problem with adhesion. (English) Zbl 1399.74025 Rev. Roum. Math. Pures Appl. 62, No. 4, 477-503 (2017). MSC: 74D10 74S05 74M10 74M15 PDF BibTeX XML Cite \textit{A. Kasri} and \textit{A. Touzaline}, Rev. Roum. Math. Pures Appl. 62, No. 4, 477--503 (2017; Zbl 1399.74025) Full Text: Link
Burnecki, Krzysztof; Sikora, Grzegorz Identification and validation of stable ARFIMA processes with application to UMTS data. (English) Zbl 06806358 Chaos Solitons Fractals 102, 456-466 (2017). MSC: 62M10 62P20 PDF BibTeX XML Cite \textit{K. Burnecki} and \textit{G. Sikora}, Chaos Solitons Fractals 102, 456--466 (2017; Zbl 06806358) Full Text: DOI
Benhenni, Karim; Hedli-Griche, Sonia; Rachdi, Mustapha Regression models with correlated errors based on functional random design. (English) Zbl 1422.62123 Test 26, No. 1, 1-21 (2017). MSC: 62G05 62G07 62G08 62G35 62G20 62M10 PDF BibTeX XML Cite \textit{K. Benhenni} et al., Test 26, No. 1, 1--21 (2017; Zbl 1422.62123) Full Text: DOI
Grublytė, Ieva; Surgailis, Donatas; Škarnulis, Andrius QMLE for quadratic ARCH model with long memory. (English) Zbl 1367.62061 J. Time Ser. Anal. 38, No. 4, 535-551 (2017). MSC: 62F12 62M10 62P20 PDF BibTeX XML Cite \textit{I. Grublytė} et al., J. Time Ser. Anal. 38, No. 4, 535--551 (2017; Zbl 1367.62061) Full Text: DOI
Dette, Holger; Preuss, Philip; Sen, Kemal Detecting long-range dependence in non-stationary time series. (English) Zbl 1362.62164 Electron. J. Stat. 11, No. 1, 1600-1659 (2017). MSC: 62M10 62M15 62G10 PDF BibTeX XML Cite \textit{H. Dette} et al., Electron. J. Stat. 11, No. 1, 1600--1659 (2017; Zbl 1362.62164) Full Text: DOI Euclid
Sang, Hailin; Sang, Yongli Memory properties of transformations of linear processes. (English) Zbl 1369.62236 Stat. Inference Stoch. Process. 20, No. 1, 79-103 (2017). MSC: 62M10 62E20 60F17 PDF BibTeX XML Cite \textit{H. Sang} and \textit{Y. Sang}, Stat. Inference Stoch. Process. 20, No. 1, 79--103 (2017; Zbl 1369.62236) Full Text: DOI arXiv
Barczy, Mátyás; Nedényi, Fanni; Pap, Gyula Iterated limits for aggregation of randomized INAR(1) processes with Poisson innovations. (English) Zbl 1361.62051 J. Math. Anal. Appl. 451, No. 1, 524-543 (2017). MSC: 62M10 60G22 60F05 PDF BibTeX XML Cite \textit{M. Barczy} et al., J. Math. Anal. Appl. 451, No. 1, 524--543 (2017; Zbl 1361.62051) Full Text: DOI arXiv
Pospíšil, Jan; Sobotka, Tomáš Market calibration under a long memory stochastic volatility model. (English) Zbl 1396.91760 Appl. Math. Finance 23, No. 5-6, 323-343 (2016). MSC: 91G20 60G22 60J75 PDF BibTeX XML Cite \textit{J. Pospíšil} and \textit{T. Sobotka}, Appl. Math. Finance 23, No. 5--6, 323--343 (2016; Zbl 1396.91760) Full Text: DOI
Chen, Zhanshou; Xing, Yuhong; Li, Fuxiao Sieve bootstrap monitoring for change from short to long memory. (English) Zbl 1398.62227 Econ. Lett. 140, 53-56 (2016). MSC: 62M10 62M07 62F40 PDF BibTeX XML Cite \textit{Z. Chen} et al., Econ. Lett. 140, 53--56 (2016; Zbl 1398.62227) Full Text: DOI
Ginovyan, M. S.; Sahakyan, A. A. On the robustness to small trends of parameter estimation for continuous-time stationary models with memory. (English) Zbl 1355.60043 J. Contemp. Math. Anal., Armen. Acad. Sci. 51, No. 5, 232-241 (2016) and Izv. Nats. Akad. Nauk Armen., Mat. 51, No. 5, 49-62 (2016). MSC: 60G10 62M20 PDF BibTeX XML Cite \textit{M. S. Ginovyan} and \textit{A. A. Sahakyan}, J. Contemp. Math. Anal., Armen. Acad. Sci. 51, No. 5, 232--241 (2016; Zbl 1355.60043) Full Text: DOI arXiv
Jaisson, Thibault; Rosenbaum, Mathieu Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes. (English) Zbl 1351.60046 Ann. Appl. Probab. 26, No. 5, 2860-2882 (2016). MSC: 60G22 60F05 PDF BibTeX XML Cite \textit{T. Jaisson} and \textit{M. Rosenbaum}, Ann. Appl. Probab. 26, No. 5, 2860--2882 (2016; Zbl 1351.60046) Full Text: DOI arXiv
Steland, Ansgar Asymptotics for random functions moderated by dependent noise. (English) Zbl 1350.60035 Stat. Inference Stoch. Process. 19, No. 3, 363-387 (2016). MSC: 60F17 60F05 62E20 60G40 62L10 PDF BibTeX XML Cite \textit{A. Steland}, Stat. Inference Stoch. Process. 19, No. 3, 363--387 (2016; Zbl 1350.60035) Full Text: DOI
Wang, Lihong Local linear estimation for regression models with locally stationary long memory errors. (English) Zbl 1342.62066 J. Korean Stat. Soc. 45, No. 3, 381-394 (2016). MSC: 62G08 62M10 PDF BibTeX XML Cite \textit{L. Wang}, J. Korean Stat. Soc. 45, No. 3, 381--394 (2016; Zbl 1342.62066) Full Text: DOI
Cisse, Papa Ousmane; Diongue, Abdou Kâ; Guegan, Dominique Statistical properties of the seasonal fractionally integrated separable spatial autoregressive model. (English. French summary) Zbl 1342.62155 Afr. Stat. 11, No. 1, 901-922 (2016). MSC: 62M30 62M07 62P12 62P20 PDF BibTeX XML Cite \textit{P. O. Cisse} et al., Afr. Stat. 11, No. 1, 901--922 (2016; Zbl 1342.62155) Full Text: DOI Euclid
Ing, Ching-Kang; Chiou, Hai-Tang; Guo, Meihui Estimation of inverse autocovariance matrices for long memory processes. (English) Zbl 1388.62257 Bernoulli 22, No. 3, 1301-1330 (2016). MSC: 62M10 62H12 PDF BibTeX XML Cite \textit{C.-K. Ing} et al., Bernoulli 22, No. 3, 1301--1330 (2016; Zbl 1388.62257) Full Text: DOI Euclid arXiv
Rabyk, Liubov; Schmid, Wolfgang EWMA control charts for detecting changes in the mean of a long-memory process. (English) Zbl 1349.62590 Metrika 79, No. 3, 267-301 (2016). MSC: 62P30 62M10 PDF BibTeX XML Cite \textit{L. Rabyk} and \textit{W. Schmid}, Metrika 79, No. 3, 267--301 (2016; Zbl 1349.62590) Full Text: DOI
Alhagyan, Mohammed; Misiran, Masnita; Omar, Zurni Estimation of geometric fractional Brownian motion perturbed by stochastic volatility model. (English) Zbl 1414.91431 Far East J. Math. Sci. (FJMS) 99, No. 2, 221-235 (2016). MSC: 91G80 60G22 60J60 PDF BibTeX XML Cite \textit{M. Alhagyan} et al., Far East J. Math. Sci. (FJMS) 99, No. 2, 221--235 (2016; Zbl 1414.91431) Full Text: DOI Link
Bai, Shuyang; Ginovyan, Mamikon S.; Taqqu, Murad S. Limit theorems for quadratic forms of Lévy-driven continuous-time linear processes. (English) Zbl 1333.60024 Stochastic Processes Appl. 126, No. 4, 1036-1065 (2016). MSC: 60F05 60G51 60G18 60J65 60G22 60H05 PDF BibTeX XML Cite \textit{S. Bai} et al., Stochastic Processes Appl. 126, No. 4, 1036--1065 (2016; Zbl 1333.60024) Full Text: DOI
Sen, Kemal; Preuß, Philip; Dette, Holger Measuring stationarity in long-memory processes. (English) Zbl 1419.62249 Stat. Sin. 26, No. 1, 313-357 (2016). MSC: 62M10 60G10 62M15 62G10 62G20 PDF BibTeX XML Cite \textit{K. Sen} et al., Stat. Sin. 26, No. 1, 313--357 (2016; Zbl 1419.62249) Full Text: DOI arXiv
Chau, Oanh A class of parabolic evolutional inequalities and application to contact problem. (English) Zbl 1389.74030 Ann. Univ. Buchar., Math. Ser. 6(64), No. 2, 151-165 (2015). MSC: 74M15 74M10 74F05 74S05 74S20 74D10 74H25 74B20 PDF BibTeX XML Cite \textit{O. Chau}, Ann. Univ. Buchar., Math. Ser. 6(64), No. 2, 151--165 (2015; Zbl 1389.74030)
Li, Yunxia A general law of precise asymptotics for long memory processes. (Chinese. English summary) Zbl 1340.60035 Appl. Math., Ser. A (Chin. Ed.) 30, No. 2, 150-156 (2015). MSC: 60F15 60G50 PDF BibTeX XML Cite \textit{Y. Li}, Appl. Math., Ser. A (Chin. Ed.) 30, No. 2, 150--156 (2015; Zbl 1340.60035)
Chau, Oanh Numerical analysis for a class of non clamped contact problems. (English) Zbl 1392.74066 Gao, David (ed.) et al., Advances in global optimization. Selected papers based on the presentations at the 3rd world congress on global optimization in engineering and science, WCGO, Anhui, China, July 8–12, 2013. Cham: Springer (ISBN 978-3-319-08376-6/hbk; 978-3-319-08377-3/ebook). Springer Proceedings in Mathematics & Statistics 95, 325-333 (2015). MSC: 74M15 74D05 74S30 PDF BibTeX XML Cite \textit{O. Chau}, in: Advances in global optimization. Selected papers based on the presentations at the 3rd world congress on global optimization in engineering and science, WCGO, Anhui, China, July 8--12, 2013. Cham: Springer. 325--333 (2015; Zbl 1392.74066) Full Text: DOI
Selmani, Mohamed A frictional contact problem involving piezoelectric materials with long memory. (English) Zbl 1327.74117 Mediterr. J. Math. 12, No. 3, 1177-1197 (2015). MSC: 74M15 74M10 74F15 74D10 PDF BibTeX XML Cite \textit{M. Selmani}, Mediterr. J. Math. 12, No. 3, 1177--1197 (2015; Zbl 1327.74117) Full Text: DOI
Wang, Gaowen; Han, Nan-Wei Spurious regressions in time series with long memory. (English) Zbl 1325.62174 Commun. Stat., Theory Methods 44, No. 4, 837-854 (2015). MSC: 62M10 91B84 60J65 62G20 62J02 PDF BibTeX XML Cite \textit{G. Wang} and \textit{N.-W. Han}, Commun. Stat., Theory Methods 44, No. 4, 837--854 (2015; Zbl 1325.62174) Full Text: DOI
Doukhan, P.; Pommeret, D.; Reboul, L. Data driven smooth test of comparison for dependent sequences. (English) Zbl 1328.62263 J. Multivariate Anal. 139, 147-165 (2015). MSC: 62G10 62E20 62M07 62M10 62P05 PDF BibTeX XML Cite \textit{P. Doukhan} et al., J. Multivariate Anal. 139, 147--165 (2015; Zbl 1328.62263) Full Text: DOI
Stelzer, Robert; Tosstorff, Thomas; Wittlinger, Marc Moment based estimation of supOU processes and a related stochastic volatility model. (English) Zbl 1309.62145 Stat. Risk. Model. 32, No. 1, 1-24 (2015). MSC: 62M09 62M10 60G51 91B25 91B84 PDF BibTeX XML Cite \textit{R. Stelzer} et al., Stat. Risk. Model. 32, No. 1, 1--24 (2015; Zbl 1309.62145) Full Text: DOI arXiv
Zhang, Rong-Mao; Sin, Chor-yiu (CY); Ling, Shiqing On functional limits of short- and long-memory linear processes with GARCH(1,1) noises. (English) Zbl 1327.60089 Stochastic Processes Appl. 125, No. 2, 482-512 (2015). MSC: 60F17 60G52 60J65 62M10 PDF BibTeX XML Cite \textit{R.-M. Zhang} et al., Stochastic Processes Appl. 125, No. 2, 482--512 (2015; Zbl 1327.60089) Full Text: DOI
Li, Huijie; Fu, Keang A general strong approximation theorem for the long memory process generated by \(\varphi\)-mixing sequences. (Chinese. English summary) Zbl 1324.60032 Appl. Math., Ser. A (Chin. Ed.) 29, No. 3, 261-268 (2014). MSC: 60F15 60G50 PDF BibTeX XML Cite \textit{H. Li} and \textit{K. Fu}, Appl. Math., Ser. A (Chin. Ed.) 29, No. 3, 261--268 (2014; Zbl 1324.60032)
Kouamé, Euloge F.; Hili, Ouagnina Simulated Hellinger disparity estimation of a cyclical long memory process. (English) Zbl 1314.62065 Far East J. Theor. Stat. 48, No. 2, 147-162 (2014). MSC: 62E20 62F12 62G35 62M10 PDF BibTeX XML Cite \textit{E. F. Kouamé} and \textit{O. Hili}, Far East J. Theor. Stat. 48, No. 2, 147--162 (2014; Zbl 1314.62065) Full Text: Link
Nanamiya, Kei Modelling for the wavelet coefficients of ARFIMA processes. (English) Zbl 1311.62152 J. Time Ser. Anal. 35, No. 4, 341-356 (2014). MSC: 62M10 42C40 62M15 PDF BibTeX XML Cite \textit{K. Nanamiya}, J. Time Ser. Anal. 35, No. 4, 341--356 (2014; Zbl 1311.62152) Full Text: DOI
Clausel, M.; Roueff, F.; Taqqu, M. S.; Tudor, C. Wavelet estimation of the long memory parameter for Hermite polynomial of Gaussian processes. (English) Zbl 1310.42023 ESAIM, Probab. Stat. 18, 42-76 (2014). Reviewer: Manfred Tasche (Rostock) MSC: 42C40 60G20 60G18 PDF BibTeX XML Cite \textit{M. Clausel} et al., ESAIM, Probab. Stat. 18, 42--76 (2014; Zbl 1310.42023) Full Text: DOI
Dalla, Violetta; Giraitis, Liudas; Koul, Hira L. Studentizing weighted sums of linear processes. (English) Zbl 1301.62085 J. Time Ser. Anal. 35, No. 2, 151-172 (2014). MSC: 62M10 62F10 62F12 62G08 PDF BibTeX XML Cite \textit{V. Dalla} et al., J. Time Ser. Anal. 35, No. 2, 151--172 (2014; Zbl 1301.62085) Full Text: DOI
Philippe, Anne; Puplinskaite, Donata; Surgailis, Donatas Contemporaneous aggregation of triangular array of random-coefficient AR(1) processes. (English) Zbl 1301.62092 J. Time Ser. Anal. 35, No. 1, 16-39 (2014). MSC: 62M10 PDF BibTeX XML Cite \textit{A. Philippe} et al., J. Time Ser. Anal. 35, No. 1, 16--39 (2014; Zbl 1301.62092) Full Text: DOI
Elliott, Robert J.; Siu, Tak Kuen Strategic asset allocation under a fractional hidden Markov model. (English) Zbl 1307.91160 Methodol. Comput. Appl. Probab. 16, No. 3, 609-626 (2014). MSC: 91G10 60G22 60J20 62M05 62P05 PDF BibTeX XML Cite \textit{R. J. Elliott} and \textit{T. K. Siu}, Methodol. Comput. Appl. Probab. 16, No. 3, 609--626 (2014; Zbl 1307.91160) Full Text: DOI
Bardet, Jean-Marc; Tudor, Ciprian Asymptotic behavior of the Whittle estimator for the increments of a Rosenblatt process. (English) Zbl 1298.60045 J. Multivariate Anal. 131, 1-16 (2014). MSC: 60G18 60F05 60H05 62F12 PDF BibTeX XML Cite \textit{J.-M. Bardet} and \textit{C. Tudor}, J. Multivariate Anal. 131, 1--16 (2014; Zbl 1298.60045) Full Text: DOI
Zumbach, Gilles; Fernández, Luis Option pricing with realistic ARCH processes. (English) Zbl 1294.91180 Quant. Finance 14, No. 1, 143-170 (2014). MSC: 91G20 91G70 62M10 91G60 PDF BibTeX XML Cite \textit{G. Zumbach} and \textit{L. Fernández}, Quant. Finance 14, No. 1, 143--170 (2014; Zbl 1294.91180) Full Text: DOI
Hou, Jie; Perron, Pierre Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations. (English) Zbl 1311.62137 J. Econom. 182, No. 2, 309-328 (2014). MSC: 62M09 62M10 62G05 PDF BibTeX XML Cite \textit{J. Hou} and \textit{P. Perron}, J. Econom. 182, No. 2, 309--328 (2014; Zbl 1311.62137) Full Text: DOI
Zhu, Fukang; Cai, Zongwu; Peng, Liang Predictive regressions for macroeconomic data. (English) Zbl 1454.62494 Ann. Appl. Stat. 8, No. 1, 577-594 (2014). MSC: 62P20 62G05 62M10 PDF BibTeX XML Cite \textit{F. Zhu} et al., Ann. Appl. Stat. 8, No. 1, 577--594 (2014; Zbl 1454.62494) Full Text: DOI Euclid
Pilipauskaitė, Vytautė; Surgailis, Donatas Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes. (English) Zbl 1400.62194 Stochastic Processes Appl. 124, No. 2, 1011-1035 (2014). MSC: 62M10 60F05 PDF BibTeX XML Cite \textit{V. Pilipauskaitė} and \textit{D. Surgailis}, Stochastic Processes Appl. 124, No. 2, 1011--1035 (2014; Zbl 1400.62194) Full Text: DOI
Chen, Fei; Diebold, Francis X.; Schorfheide, Frank A Markov-switching multifractal inter-trade duration model, with application to US equities. (English) Zbl 1288.91140 J. Econom. 177, No. 2, 320-342 (2013). MSC: 91B60 62P20 60J28 91G70 PDF BibTeX XML Cite \textit{F. Chen} et al., J. Econom. 177, No. 2, 320--342 (2013; Zbl 1288.91140) Full Text: DOI
Wang, Cindy Shin-Huei; Bauwens, Luc; Hsiao, Cheng Forecasting a long memory process subject to structural breaks. (English) Zbl 1288.62142 J. Econom. 177, No. 2, 171-184 (2013). MSC: 62M20 62M10 62P05 PDF BibTeX XML Cite \textit{C. S. H. Wang} et al., J. Econom. 177, No. 2, 171--184 (2013; Zbl 1288.62142) Full Text: DOI
Bai, Shuyang; Taqqu, Murad S. Multivariate limits of multilinear polynomial-form processes with long memory. (English) Zbl 1307.60037 Stat. Probab. Lett. 83, No. 11, 2473-2485 (2013). MSC: 60G18 60F05 PDF BibTeX XML Cite \textit{S. Bai} and \textit{M. S. Taqqu}, Stat. Probab. Lett. 83, No. 11, 2473--2485 (2013; Zbl 1307.60037) Full Text: DOI arXiv
Chan, Ngai Hang; Zhang, Rongmao Marked empirical processes for non-stationary time series. (English) Zbl 1412.62115 Bernoulli 19, No. 5A, 2098-2119 (2013). MSC: 62M10 60F05 60F17 62G05 62G10 PDF BibTeX XML Cite \textit{N. H. Chan} and \textit{R. Zhang}, Bernoulli 19, No. 5A, 2098--2119 (2013; Zbl 1412.62115) Full Text: DOI arXiv
Li, Yunxia Precise asymptotics for complete moment convergence of long memory processes. (Chinese. English summary) Zbl 1289.60043 Appl. Math., Ser. A (Chin. Ed.) 28, No. 1, 23-33 (2013). MSC: 60F15 60G50 PDF BibTeX XML Cite \textit{Y. Li}, Appl. Math., Ser. A (Chin. Ed.) 28, No. 1, 23--33 (2013; Zbl 1289.60043)
Chau, Oanh On a class of dynamic evolution inequalities in thermal contact problems. (English) Zbl 1277.74050 Far East J. Appl. Math. 79, No. 1, 37-72 (2013). MSC: 74M15 74M10 74F05 74S05 74S20 74D10 74H20 74H25 74B20 PDF BibTeX XML Cite \textit{O. Chau}, Far East J. Appl. Math. 79, No. 1, 37--72 (2013; Zbl 1277.74050) Full Text: Link
Kamagaté, Amadou; Hili, Ouagnina The quasi maximum likelihood approach to statistical inference on a nonstationary multivariate ARFIMA process. (English) Zbl 1294.62204 Random Oper. Stoch. Equ. 21, No. 3, 305-320 (2013). MSC: 62M10 62M15 62F12 62H12 60G10 60F05 PDF BibTeX XML Cite \textit{A. Kamagaté} and \textit{O. Hili}, Random Oper. Stoch. Equ. 21, No. 3, 305--320 (2013; Zbl 1294.62204) Full Text: DOI
Preuß, Philip; Vetter, Mathias Discriminating between long-range dependence and non-stationarity. (English) Zbl 1293.62201 Electron. J. Stat. 7, 2241-2297 (2013). MSC: 62M10 62M15 62G10 PDF BibTeX XML Cite \textit{P. Preuß} and \textit{M. Vetter}, Electron. J. Stat. 7, 2241--2297 (2013; Zbl 1293.62201) Full Text: DOI Euclid
Adly, Samir; Chau, Oanh On some dynamic thermal non clamped contact problems. (English) Zbl 1268.74014 Math. Program. 139, No. 1-2 (B), 5-26 (2013). MSC: 74F05 65K15 35Q74 PDF BibTeX XML Cite \textit{S. Adly} and \textit{O. Chau}, Math. Program. 139, No. 1--2 (B), 5--26 (2013; Zbl 1268.74014) Full Text: DOI
Fu, Ke-Ang; Ng, Andrew Cheuk-Yin A note on the strong approximation for long memory processes and its application. (English) Zbl 1327.60075 Statistics 47, No. 3, 511-520 (2013). MSC: 60F15 60G50 PDF BibTeX XML Cite \textit{K.-A. Fu} and \textit{A. C. Y. Ng}, Statistics 47, No. 3, 511--520 (2013; Zbl 1327.60075) Full Text: DOI
Barndorff-Nielsen, Ole Eiler; Stelzer, Robert The multivariate supOU stochastic volatility model. (English) Zbl 1262.91139 Math. Finance 23, No. 2, 275-296 (2013). MSC: 91G30 91G70 PDF BibTeX XML Cite \textit{O. E. Barndorff-Nielsen} and \textit{R. Stelzer}, Math. Finance 23, No. 2, 275--296 (2013; Zbl 1262.91139) Full Text: DOI
Baumann, Hendrik; Sandmann, Werner Computing stationary expectations in level-dependent QBD processes. (English) Zbl 1273.60089 J. Appl. Probab. 50, No. 1, 151-165 (2013). Reviewer: Martin Riedler (Wien) MSC: 60J22 60J27 60J28 PDF BibTeX XML Cite \textit{H. Baumann} and \textit{W. Sandmann}, J. Appl. Probab. 50, No. 1, 151--165 (2013; Zbl 1273.60089) Full Text: DOI Euclid
Perilioğlu, Karina; Puplinskaitė, Donata Asymptotics of the ruin probability with claims modeled by \(\alpha \)-stable aggregated \(\operatorname{AR}(1)\) process. (English) Zbl 1262.60042 Turk. J. Math. 37, No. 1, 129-138 (2013). MSC: 60G52 91B30 PDF BibTeX XML Cite \textit{K. Perilioğlu} and \textit{D. Puplinskaitė}, Turk. J. Math. 37, No. 1, 129--138 (2013; Zbl 1262.60042) Full Text: Link
Bardet, Jean-Marc; Surgailis, Donatas Moment bounds and central limit theorems for Gaussian subordinated arrays. (English) Zbl 1262.60021 J. Multivariate Anal. 114, 457-473 (2013). MSC: 60F05 60G15 62G05 62M09 PDF BibTeX XML Cite \textit{J.-M. Bardet} and \textit{D. Surgailis}, J. Multivariate Anal. 114, 457--473 (2013; Zbl 1262.60021) Full Text: DOI arXiv
Frederiksen, Per; Nielsen, Frank S.; Nielsen, Morten Ørregaard Local polynomial Whittle estimation of perturbed fractional processes. (English) Zbl 1441.62693 J. Econom. 167, No. 2, 426-447 (2012). MSC: 62P20 62M10 62M15 60G22 PDF BibTeX XML Cite \textit{P. Frederiksen} et al., J. Econom. 167, No. 2, 426--447 (2012; Zbl 1441.62693) Full Text: DOI
Lu, Zhiping; Tao, Qinying Time-varying long memory parameter estimation based on wavelets. (English) Zbl 1274.62605 Chin. J. Appl. Probab. Stat. 28, No. 5, 499-510 (2012). MSC: 62M10 65T60 62F10 62P05 65C60 PDF BibTeX XML Cite \textit{Z. Lu} and \textit{Q. Tao}, Chin. J. Appl. Probab. Stat. 28, No. 5, 499--510 (2012; Zbl 1274.62605)
Delgado, Rosario; Jolis, Maria; Utzet, Frederic Mandelbrot and randomness. (Catalan. English summary) Zbl 1278.01006 Butll. Soc. Catalana Mat. 27, No. 2, 121-160 (2012). Reviewer: V. N. Saliĭ (Saratov) MSC: 01A60 60-03 60G22 60K40 91F20 91B25 PDF BibTeX XML Cite \textit{R. Delgado} et al., Butll. Soc. Catalana Mat. 27, No. 2, 121--160 (2012; Zbl 1278.01006)
Adly, Samir; Chau, Oanh; Rochdi, Mohamed Solvability of a class of thermal dynamical contact problems with subdifferential conditions. (English) Zbl 1246.74035 Numer. Algebra Control Optim. 2, No. 1, 91-104 (2012). MSC: 74M10 74M15 74F25 74H20 74H25 34G20 PDF BibTeX XML Cite \textit{S. Adly} et al., Numer. Algebra Control Optim. 2, No. 1, 91--104 (2012; Zbl 1246.74035) Full Text: DOI
Ginovyan, M. S.; Sahakyan, A. A. Trace approximations of products of truncated Toeplitz operators. (English) Zbl 1242.60022 Theory Probab. Appl. 56, No. 1, 57-71 (2012) and Teor. Veroyatn. Primen. 56, No. 1, 123-139 (2011). Reviewer: Ilie Valuşescu (Bucureşti) MSC: 60F05 60G10 PDF BibTeX XML Cite \textit{M. S. Ginovyan} and \textit{A. A. Sahakyan}, Theory Probab. Appl. 56, No. 1, 57--71 (2012; Zbl 1242.60022) Full Text: DOI
Beutner, Eric; Wu, Wei Biao; Zähle, Henryk Asymptotics for statistical functionals of long-memory sequences. (English) Zbl 1250.62023 Stochastic Processes Appl. 122, No. 3, 910-929 (2012). Reviewer: Neville Weber (Sydney) MSC: 62G20 60F05 62M10 60F17 PDF BibTeX XML Cite \textit{E. Beutner} et al., Stochastic Processes Appl. 122, No. 3, 910--929 (2012; Zbl 1250.62023) Full Text: DOI
Lee, Jiyeon; Na, Okyoung; Lee, Sangyeol Constancy test for FARIMA long memory processes. (English) Zbl 1296.62174 J. Korean Stat. Soc. 40, No. 2, 161-172 (2011). MSC: 62M10 62G10 62G20 62L10 PDF BibTeX XML Cite \textit{J. Lee} et al., J. Korean Stat. Soc. 40, No. 2, 161--172 (2011; Zbl 1296.62174) Full Text: DOI
Bishwal, Jaya P. N. Minimum contrast estimation in fractional Ornstein-Uhlenbeck process: continuous and discrete sampling. (English) Zbl 1273.62056 Fract. Calc. Appl. Anal. 14, No. 3, 375-410 (2011). MSC: 62F12 62M05 60F05 60F10 60G22 60H10 PDF BibTeX XML Cite \textit{J. P. N. Bishwal}, Fract. Calc. Appl. Anal. 14, No. 3, 375--410 (2011; Zbl 1273.62056) Full Text: DOI
Tewfik, Lounis; Said, Bouabdellah Regularisation of the Langevin equation in \(d=1\) by the fractional Brownian motion. (English) Zbl 1260.82066 Adv. Stud. Theor. Phys. 5, No. 9-12, 429-442 (2011). MSC: 82C31 60G22 60J65 60H10 PDF BibTeX XML Cite \textit{L. Tewfik} and \textit{B. Said}, Adv. Stud. Theor. Phys. 5, No. 9--12, 429--442 (2011; Zbl 1260.82066) Full Text: Link
Lu, Zhiping Testing unit roots of financial time series: an application to major stock markets in Asia-Pacific area. (English) Zbl 1249.91109 Chin. J. Appl. Probab. Stat. 27, No. 4, 435-443 (2011). MSC: 91B84 62F03 PDF BibTeX XML Cite \textit{Z. Lu}, Chin. J. Appl. Probab. Stat. 27, No. 4, 435--443 (2011; Zbl 1249.91109)
Bishwal, Jaya Financial extremes: a short review. (English) Zbl 1241.91122 Adv. Appl. Stat. 25, No. 1, 1-14 (2011). MSC: 91G30 91G70 60E07 60G22 60G51 60G70 60H10 62E20 PDF BibTeX XML Cite \textit{J. Bishwal}, Adv. Appl. Stat. 25, No. 1, 1--14 (2011; Zbl 1241.91122) Full Text: Link
Addi, Khalid; Chau, Oanh; Goeleven, Daniel On some frictional contact problems with velocity condition for elastic and visco-elastic materials. (English) Zbl 1335.74046 Discrete Contin. Dyn. Syst. 31, No. 4, 1039-1051 (2011). MSC: 74M15 74M10 35D30 35Q74 74D05 74H20 PDF BibTeX XML Cite \textit{K. Addi} et al., Discrete Contin. Dyn. Syst. 31, No. 4, 1039--1051 (2011; Zbl 1335.74046) Full Text: DOI
Iglesias, Pilar; San Martín, Jaime; Torres, Soledad; Viens, Frederi Option pricing under a gamma-modulated diffusion process. (English) Zbl 1225.91063 Ann. Finance 7, No. 2, 199-219 (2011). MSC: 91G20 91G80 91G70 62F15 PDF BibTeX XML Cite \textit{P. Iglesias} et al., Ann. Finance 7, No. 2, 199--219 (2011; Zbl 1225.91063) Full Text: DOI
Lavancier, Frédéric; Philippe, Anne Some convergence results on quadratic forms for random fields and application to empirical covariances. (English) Zbl 1234.60029 Probab. Theory Relat. Fields 149, No. 3-4, 493-514 (2011). Reviewer: Dongsheng Tu (Kingston) MSC: 60F05 60G60 60H40 60G10 PDF BibTeX XML Cite \textit{F. Lavancier} and \textit{A. Philippe}, Probab. Theory Relat. Fields 149, No. 3--4, 493--514 (2011; Zbl 1234.60029) Full Text: DOI
Liu, Guangying; Zhang, Xinsheng Power variation of fractional integral processes with jumps. (English) Zbl 1227.60072 Stat. Probab. Lett. 81, No. 8, 962-972 (2011). MSC: 60H05 60G22 PDF BibTeX XML Cite \textit{G. Liu} and \textit{X. Zhang}, Stat. Probab. Lett. 81, No. 8, 962--972 (2011; Zbl 1227.60072) Full Text: DOI
Roueff, François; Von Sachs, Rainer Locally stationary long memory estimation. (English) Zbl 1220.62111 Stochastic Processes Appl. 121, No. 4, 813-844 (2011). MSC: 62M10 62G05 42C40 62M15 65C60 PDF BibTeX XML Cite \textit{F. Roueff} and \textit{R. Von Sachs}, Stochastic Processes Appl. 121, No. 4, 813--844 (2011; Zbl 1220.62111) Full Text: DOI
Kulik, Rafał; Soulier, Philippe The tail empirical process for long memory stochastic volatility sequences. (English) Zbl 1253.60030 Stochastic Processes Appl. 121, No. 1, 109-134 (2011). MSC: 60F05 60G70 62G30 62G32 62M10 PDF BibTeX XML Cite \textit{R. Kulik} and \textit{P. Soulier}, Stochastic Processes Appl. 121, No. 1, 109--134 (2011; Zbl 1253.60030) Full Text: DOI arXiv
Cheong, Chin Wen Self-similarity in financial markets: a fractionally integrated approach. (English) Zbl 1201.91224 Math. Comput. Modelling 52, No. 3-4, 459-471 (2010). MSC: 91G70 62M10 60G18 PDF BibTeX XML Cite \textit{C. W. Cheong}, Math. Comput. Modelling 52, No. 3--4, 459--471 (2010; Zbl 1201.91224) Full Text: DOI
Puplinskaitė, Donata; Surgailis, Donatas Aggregation of a random-coefficient AR(1) process with infinite variance and idiosyncratic innovations. (English) Zbl 1191.62154 Adv. Appl. Probab. 42, No. 2, 509-527 (2010). MSC: 62M10 60F05 60G52 PDF BibTeX XML Cite \textit{D. Puplinskaitė} and \textit{D. Surgailis}, Adv. Appl. Probab. 42, No. 2, 509--527 (2010; Zbl 1191.62154) Full Text: DOI
Zumbach, Gilles Volatility conditional on price trends. (English) Zbl 1203.91318 Quant. Finance 10, No. 4, 431-442 (2010). MSC: 91G70 62M10 PDF BibTeX XML Cite \textit{G. Zumbach}, Quant. Finance 10, No. 4, 431--442 (2010; Zbl 1203.91318) Full Text: DOI
Benhenni, K.; Hedli-Griche, S.; Rachdi, M. Estimation of the regression operator from functional fixed-design with correlated errors. (English) Zbl 1178.62031 J. Multivariate Anal. 101, No. 2, 476-490 (2010). MSC: 62G08 62G20 62M09 62G05 65C60 PDF BibTeX XML Cite \textit{K. Benhenni} et al., J. Multivariate Anal. 101, No. 2, 476--490 (2010; Zbl 1178.62031) Full Text: DOI
Sibbertsen, Philipp; Kruse, Robinson Testing for a break in persistence under long-range dependencies. (English) Zbl 1221.62128 J. Time Ser. Anal. 30, No. 3, 263-285 (2009). Reviewer: Mikhail Moklyachuk (Kyïv) MSC: 62M10 62F05 62E20 65C05 62P05 PDF BibTeX XML Cite \textit{P. Sibbertsen} and \textit{R. Kruse}, J. Time Ser. Anal. 30, No. 3, 263--285 (2009; Zbl 1221.62128) Full Text: DOI