Di Nunno, Giulia; Mishura, Yuliya; Yurchenko-Tytarenko, Anton Sandwiched SDEs with unbounded drift driven by Hölder noises. (English) Zbl 07779237 Adv. Appl. Probab. 55, No. 3, 927-964 (2023). MSC: 60H10 60H35 60G22 91G30 PDFBibTeX XMLCite \textit{G. Di Nunno} et al., Adv. Appl. Probab. 55, No. 3, 927--964 (2023; Zbl 07779237) Full Text: DOI arXiv
Ding, Yiming; Wu, Liang; Xiang, Xuyan An informatic approach to a long memory stationary process. (English) Zbl 07764476 Acta Math. Sci., Ser. B, Engl. Ed. 43, No. 6, 2629-2648 (2023). MSC: 60G10 94A17 60G22 PDFBibTeX XMLCite \textit{Y. Ding} et al., Acta Math. Sci., Ser. B, Engl. Ed. 43, No. 6, 2629--2648 (2023; Zbl 07764476) Full Text: DOI
Babayan, Nikolay M.; Ginovyan, Mamikon S. Asymptotic behavior of the prediction error for stationary sequences. (English) Zbl 1517.60040 Probab. Surv. 20, 664-721 (2023). MSC: 60G10 60G25 62M15 62M20 15A18 30C10 PDFBibTeX XMLCite \textit{N. M. Babayan} and \textit{M. S. Ginovyan}, Probab. Surv. 20, 664--721 (2023; Zbl 1517.60040) Full Text: DOI arXiv Link
Voutilainen, Marko; Ilmonen, Pauliina; Viitasaari, Lauri; Lietzén, Niko Note on asymptotic behavior of spatial sign autocovariance matrices. (English) Zbl 1499.62181 Stat. Probab. Lett. 192, Article ID 109679, 8 p. (2023). MSC: 62H12 60F05 60G15 60G10 62H11 PDFBibTeX XMLCite \textit{M. Voutilainen} et al., Stat. Probab. Lett. 192, Article ID 109679, 8 p. (2023; Zbl 1499.62181) Full Text: DOI
Betken, Annika; Wendler, Martin Rank-based change-point analysis for long-range dependent time series. (English) Zbl 07594057 Bernoulli 28, No. 4, 2209-2233 (2022). MSC: 62Mxx 62Gxx 60Fxx PDFBibTeX XMLCite \textit{A. Betken} and \textit{M. Wendler}, Bernoulli 28, No. 4, 2209--2233 (2022; Zbl 07594057) Full Text: DOI arXiv Link
Barczy, Mátyás; Nedényi, Fanni K.; Pap, Gyula Convergence of partial sum processes to stable processes with application for aggregation of branching processes. (English) Zbl 1505.60043 Braz. J. Probab. Stat. 36, No. 2, 315-348 (2022). Reviewer: Heinrich Hering (Rockenberg) MSC: 60G10 60G52 60J80 PDFBibTeX XMLCite \textit{M. Barczy} et al., Braz. J. Probab. Stat. 36, No. 2, 315--348 (2022; Zbl 1505.60043) Full Text: DOI arXiv
Xu, Chen; Zhang, Ye Estimating the memory parameter for potentially non-linear and non-Gaussian time series with wavelets. (English) Zbl 07474160 Inverse Probl. 38, No. 3, Article ID 035004, 42 p. (2022). MSC: 62Mxx 35Rxx 62Gxx PDFBibTeX XMLCite \textit{C. Xu} and \textit{Y. Zhang}, Inverse Probl. 38, No. 3, Article ID 035004, 42 p. (2022; Zbl 07474160) Full Text: DOI
Li, Ming Multi-fractional generalized Cauchy process and its application to teletraffic. (English) Zbl 07526328 Physica A 550, Article ID 123982, 14 p. (2020). MSC: 82-XX 28A80 60G15 60G18 62M10 60K30 60E07 PDFBibTeX XMLCite \textit{M. Li}, Physica A 550, Article ID 123982, 14 p. (2020; Zbl 07526328) Full Text: DOI
Shang, Han Lin A comparison of Hurst exponent estimators in long-range dependent curve time series. (English) Zbl 1494.62019 J. Time Ser. Econom. 12, No. 1, Article ID 20190009, 39 p. (2020). MSC: 62M10 62M15 62G32 PDFBibTeX XMLCite \textit{H. L. Shang}, J. Time Ser. Econom. 12, No. 1, Article ID 20190009, 39 p. (2020; Zbl 1494.62019) Full Text: DOI arXiv
Doukhan, Paul; Grublytė, Ieva; Pommeret, Denys; Reboul, Laurence Comparing the marginal densities of two strictly stationary linear processes. (English) Zbl 1467.62143 Ann. Inst. Stat. Math. 72, No. 6, 1419-1447 (2020). Reviewer: Oscar Bustos (Córdoba) MSC: 62M10 62G10 62M07 60G10 62P10 92B25 PDFBibTeX XMLCite \textit{P. Doukhan} et al., Ann. Inst. Stat. Math. 72, No. 6, 1419--1447 (2020; Zbl 1467.62143) Full Text: DOI
Beran, Jan; Telkmann, Klaus On nonparametric ridge estimation for multivariate long-memory processes. (English) Zbl 1465.62097 Lith. Math. J. 60, No. 3, 291-314 (2020). MSC: 62H12 62J07 62M10 62G07 62G15 60G18 60F17 PDFBibTeX XMLCite \textit{J. Beran} and \textit{K. Telkmann}, Lith. Math. J. 60, No. 3, 291--314 (2020; Zbl 1465.62097) Full Text: DOI
Gupta, Neha; Kumar, Arun; Leonenko, Nikolai Tempered fractional Poisson processes and fractional equations with \(Z\)-transform. (English) Zbl 1472.60070 Stochastic Anal. Appl. 38, No. 5, 939-957 (2020). MSC: 60G22 60G55 60E07 60G20 PDFBibTeX XMLCite \textit{N. Gupta} et al., Stochastic Anal. Appl. 38, No. 5, 939--957 (2020; Zbl 1472.60070) Full Text: DOI arXiv
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 PDFBibTeX XMLCite \textit{H. L. Koul} and \textit{F. Li}, Metrika 83, No. 4, 499--517 (2020; Zbl 1439.62192) Full Text: DOI
Durieu, Olivier; Samorodnitsky, Gennady; Wang, Yizao From infinite urn schemes to self-similar stable processes. (English) Zbl 1434.60105 Stochastic Processes Appl. 130, No. 4, 2471-2487 (2020). MSC: 60F17 60G18 60G52 PDFBibTeX XMLCite \textit{O. Durieu} et al., Stochastic Processes Appl. 130, No. 4, 2471--2487 (2020; Zbl 1434.60105) Full Text: DOI arXiv
Abry, Patrice; Didier, Gustavo; Li, Hui Two-step wavelet-based estimation for Gaussian mixed fractional processes. (English) Zbl 1420.62366 Stat. Inference Stoch. Process. 22, No. 2, 157-185 (2019). MSC: 62M10 60G18 42C40 60G22 62H12 62P10 PDFBibTeX XMLCite \textit{P. Abry} et al., Stat. Inference Stoch. Process. 22, No. 2, 157--185 (2019; Zbl 1420.62366) Full Text: DOI arXiv
Skorniakov, V. On a covariance structure of some subset of self-similar Gaussian processes. (English) Zbl 1478.60115 Stochastic Processes Appl. 129, No. 6, 1903-1920 (2019). MSC: 60G15 60G18 PDFBibTeX XMLCite \textit{V. Skorniakov}, Stochastic Processes Appl. 129, No. 6, 1903--1920 (2019; Zbl 1478.60115) Full Text: DOI arXiv
Nguyen, Michele; Veraart, Almut E. D. Bridging between short-range and long-range dependence with mixed spatio-temporal Ornstein-Uhlenbeck processes. (English) Zbl 1498.60139 Stochastics 90, No. 7, 1023-1052 (2018). MSC: 60G10 60G60 62M10 PDFBibTeX XMLCite \textit{M. Nguyen} and \textit{A. E. D. Veraart}, Stochastics 90, No. 7, 1023--1052 (2018; Zbl 1498.60139) Full Text: DOI arXiv
Durieu, Olivier; Wang, Yizao A family of random sup-measures with long-range dependence. (English) Zbl 1402.60064 Electron. J. Probab. 23, Paper No. 107, 24 p. (2018). MSC: 60G70 60F17 60G57 PDFBibTeX XMLCite \textit{O. Durieu} and \textit{Y. Wang}, Electron. J. Probab. 23, Paper No. 107, 24 p. (2018; Zbl 1402.60064) Full Text: DOI arXiv Euclid
Li, Ming Record length requirement of long-range dependent teletraffic. (English) Zbl 1400.94095 Physica A 472, 164-187 (2017). MSC: 94A17 81P40 60G22 62M15 PDFBibTeX XMLCite \textit{M. Li}, Physica A 472, 164--187 (2017; Zbl 1400.94095) Full Text: DOI
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 PDFBibTeX XMLCite \textit{J. Pospíšil} and \textit{T. Sobotka}, Appl. Math. Finance 23, No. 5--6, 323--343 (2016; Zbl 1396.91760) 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 PDFBibTeX XMLCite \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
Kawai, Reiichiro Higher order fractional stable motion: hyperdiffusion with heavy tails. (English) Zbl 1355.60050 J. Stat. Phys. 165, No. 1, 126-152 (2016). MSC: 60G22 60G52 60J60 60G18 60G17 60F05 65C50 PDFBibTeX XMLCite \textit{R. Kawai}, J. Stat. Phys. 165, No. 1, 126--152 (2016; Zbl 1355.60050) Full Text: DOI
Bila, G. D. Identification of a nonparametric signal under strongly dependent random noise. (English. Russian original) Zbl 1336.93162 Cybern. Syst. Anal. 52, No. 1, 160-172 (2016); translation from Kibern. Sist. Anal. 2016, No. 1, 173-186 (2016). MSC: 93E12 94A12 93E10 PDFBibTeX XMLCite \textit{G. D. Bila}, Cybern. Syst. Anal. 52, No. 1, 160--172 (2016; Zbl 1336.93162); translation from Kibern. Sist. Anal. 2016, No. 1, 173--186 (2016) Full Text: DOI
Beran, Jan; Weiershäuser, Arno; Galizia, C. Giovanni; Rein, Julia; Smith, Brian H.; Strauch, Martin On piecewise polynomial regression under general dependence conditions, with an application to calcium-imaging data. (English) Zbl 1305.62318 Sankhyā, Ser. B 76, No. 1, 49-81 (2014). MSC: 62M09 62M10 60G22 62M99 62J02 PDFBibTeX XMLCite \textit{J. Beran} et al., Sankhyā, Ser. B 76, No. 1, 49--81 (2014; Zbl 1305.62318) Full Text: DOI Link
Ginovyan, Mamikon S.; Sahakyan, Artur A.; Taqqu, Murad S. The trace problem for Toeplitz matrices and operators and its impact in probability. (English) Zbl 1348.60054 Probab. Surv. 11, 393-440 (2014). MSC: 60G10 47B35 15B05 60F05 60F10 62G05 62G20 PDFBibTeX XMLCite \textit{M. S. Ginovyan} et al., Probab. Surv. 11, 393--440 (2014; Zbl 1348.60054) Full Text: DOI arXiv Euclid
Liu, Guangying; Tang, Jiashan; Zhang, Xinsheng Central limit theorems for power variation of Gaussian integral processes with jumps. (English) Zbl 1309.60013 Sci. China, Math. 57, No. 8, 1671-1685 (2014). MSC: 60F05 60G15 60G51 60H05 60G99 PDFBibTeX XMLCite \textit{G. Liu} et al., Sci. China, Math. 57, No. 8, 1671--1685 (2014; Zbl 1309.60013) 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 PDFBibTeX XMLCite \textit{J.-M. Bardet} and \textit{C. Tudor}, J. Multivariate Anal. 131, 1--16 (2014; Zbl 1298.60045) Full Text: DOI arXiv
Cohen, Serge; Panloup, Fabien; Tindel, Samy Approximation of stationary solutions to SDEs driven by multiplicative fractional noise. (English) Zbl 1285.60068 Stochastic Processes Appl. 124, No. 3, 1197-1225 (2014). MSC: 60H35 60G10 60G15 PDFBibTeX XMLCite \textit{S. Cohen} et al., Stochastic Processes Appl. 124, No. 3, 1197--1225 (2014; Zbl 1285.60068) Full Text: DOI arXiv
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 PDFBibTeX XMLCite \textit{V. Pilipauskaitė} and \textit{D. Surgailis}, Stochastic Processes Appl. 124, No. 2, 1011--1035 (2014; Zbl 1400.62194) Full Text: DOI arXiv
Teuerle, Marek; Wyłomańska, Agnieszka; Sikora, Grzegorz Modeling anomalous diffusion by a subordinated fractional Lévy-stable process. (English) Zbl 1456.60278 J. Stat. Mech. Theory Exp. 2013, No. 5, Paper No. P05016, 15 p. (2013). MSC: 60K50 60G22 60G52 60G51 60J60 65C05 PDFBibTeX XMLCite \textit{M. Teuerle} et al., J. Stat. Mech. Theory Exp. 2013, No. 5, Paper No. P05016, 15 p. (2013; Zbl 1456.60278) Full Text: DOI
Knopov, P. S.; Bila, G. D. Periodogram estimates in nonlinear regression models with long-range dependent noise. (English. Russian original) Zbl 1307.62173 Cybern. Syst. Anal. 49, No. 4, 624-631 (2013); translation from Kibern. Sist. Anal. 2013, No. 4, 163-172 (2013). MSC: 62J02 62M15 62F12 PDFBibTeX XMLCite \textit{P. S. Knopov} and \textit{G. D. Bila}, Cybern. Syst. Anal. 49, No. 4, 624--631 (2013; Zbl 1307.62173); translation from Kibern. Sist. Anal. 2013, No. 4, 163--172 (2013) Full Text: DOI
Peligrad, Magda; Sang, Hailin Central limit theorem for linear processes with infinite variance. (English) Zbl 1296.60062 J. Theor. Probab. 26, No. 1, 222-239 (2013). MSC: 60F05 60G10 60G42 PDFBibTeX XMLCite \textit{M. Peligrad} and \textit{H. Sang}, J. Theor. Probab. 26, No. 1, 222--239 (2013; Zbl 1296.60062) Full Text: DOI arXiv
Bai, Shuyang; Taqqu, Murad S. Multivariate limit theorems in the context of long-range dependence. (English) Zbl 1291.62160 J. Time Ser. Anal. 34, No. 6, 717-743 (2013). Reviewer: Pedro A. Morettin (São Paulo) MSC: 62M10 62M15 PDFBibTeX XMLCite \textit{S. Bai} and \textit{M. S. Taqqu}, J. Time Ser. Anal. 34, No. 6, 717--743 (2013; Zbl 1291.62160) Full Text: DOI arXiv
Khan, Md Atikur Rahman; Poskitt, D. S. Moment tests for window length selection in singular spectrum analysis of short- and long-memory processes. (English) Zbl 1273.62200 J. Time Ser. Anal. 34, No. 2, 141-155 (2013). MSC: 62M07 62M15 62M10 62P12 65C05 PDFBibTeX XMLCite \textit{M. A. R. Khan} and \textit{D. S. Poskitt}, J. Time Ser. Anal. 34, No. 2, 141--155 (2013; Zbl 1273.62200) Full Text: DOI Link
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 PDFBibTeX XMLCite \textit{P. Preuß} and \textit{M. Vetter}, Electron. J. Stat. 7, 2241--2297 (2013; Zbl 1293.62201) Full Text: DOI Euclid
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 PDFBibTeX XMLCite \textit{P. Frederiksen} et al., J. Econom. 167, No. 2, 426--447 (2012; Zbl 1441.62693) Full Text: DOI Link
Bingham, N. H. Szegő’s theorem and its probabilistic descendants. (English) Zbl 1285.60037 Probab. Surv. 9, 287-324 (2012). Reviewer: Ryszard Doman (Poznań) MSC: 60G10 60G25 42C05 PDFBibTeX XMLCite \textit{N. H. Bingham}, Probab. Surv. 9, 287--324 (2012; Zbl 1285.60037) Full Text: DOI arXiv Euclid
Kumar, Arun; Vellaisamy, Palaniappan Fractional normal inverse Gaussian process. (English) Zbl 1405.60051 Methodol. Comput. Appl. Probab. 14, No. 2, 263-283 (2012). MSC: 60G22 60G07 60G15 PDFBibTeX XMLCite \textit{A. Kumar} and \textit{P. Vellaisamy}, Methodol. Comput. Appl. Probab. 14, No. 2, 263--283 (2012; Zbl 1405.60051) Full Text: DOI arXiv
Jørgensen, Bent; Martínez, José R.; Demétrio, Clarice G. B. Self-similarity and Lamperti convergence for families of stochastic processes. (English) Zbl 1311.60041 Lith. Math. J. 51, No. 3, 342-361 (2011). Reviewer: Enzo Orsingher (Roma) MSC: 60G18 60G22 60G51 60F05 PDFBibTeX XMLCite \textit{B. Jørgensen} et al., Lith. Math. J. 51, No. 3, 342--361 (2011; Zbl 1311.60041) Full Text: DOI arXiv
Bertin, Karine; Torres, Soledad; Tudor, Ciprian A. Maximum-likelihood estimators and random walks in long memory models. (English) Zbl 1229.62112 Statistics 45, No. 4, 361-374 (2011). MSC: 62M09 60G18 60G50 62M05 65C60 62F12 PDFBibTeX XMLCite \textit{K. Bertin} et al., Statistics 45, No. 4, 361--374 (2011; Zbl 1229.62112) Full Text: DOI arXiv Link
Ginovyan, Mamikon S. Efficient estimation of spectral functionals for continuous-time stationary models. (English) Zbl 1327.62209 Acta Appl. Math. 115, No. 2, 233-254 (2011). MSC: 62G05 62G20 62M15 60G10 PDFBibTeX XMLCite \textit{M. S. Ginovyan}, Acta Appl. Math. 115, No. 2, 233--254 (2011; Zbl 1327.62209) 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 PDFBibTeX XMLCite \textit{F. Roueff} and \textit{R. Von Sachs}, Stochastic Processes Appl. 121, No. 4, 813--844 (2011; Zbl 1220.62111) Full Text: DOI arXiv
Mondal, Debashis; Percival, Donald B. Wavelet variance analysis for gappy time series. (English) Zbl 1432.62309 Ann. Inst. Stat. Math. 62, No. 5, 943-966 (2010). MSC: 62M10 60F05 62M15 PDFBibTeX XMLCite \textit{D. Mondal} and \textit{D. B. Percival}, Ann. Inst. Stat. Math. 62, No. 5, 943--966 (2010; Zbl 1432.62309) Full Text: DOI
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 PDFBibTeX XMLCite \textit{C. W. Cheong}, Math. Comput. Modelling 52, No. 3--4, 459--471 (2010; Zbl 1201.91224) Full Text: DOI
Bardet, J.-M.; Tudor, C. A. A wavelet analysis of the Rosenblatt process: chaos expansion and estimation of the self-similarity parameter. (English) Zbl 1203.60043 Stochastic Processes Appl. 120, No. 12, 2331-2362 (2010). MSC: 60G18 60F05 60H05 62F12 PDFBibTeX XMLCite \textit{J. M. Bardet} and \textit{C. A. Tudor}, Stochastic Processes Appl. 120, No. 12, 2331--2362 (2010; Zbl 1203.60043) Full Text: DOI arXiv
Došlá, Šárka; Anděl, Jiří Weakly stationary processes with non-positive autocorrelations. (English) Zbl 1187.62142 Kybernetika 46, No. 1, 114-124 (2010). MSC: 62M10 62H20 60G99 60K99 PDFBibTeX XMLCite \textit{Š. Došlá} and \textit{J. Anděl}, Kybernetika 46, No. 1, 114--124 (2010; Zbl 1187.62142) Full Text: Link
Chronopoulou, Alexandra; Viens, Frederi G.; Tudor, Ciprian A. Variations and Hurst index estimation for a Rosenblatt process using longer filters. (English) Zbl 1326.60046 Electron. J. Stat. 3, 1393-1435 (2009). MSC: 60G18 60F05 60G22 60H07 62E20 62F12 PDFBibTeX XMLCite \textit{A. Chronopoulou} et al., Electron. J. Stat. 3, 1393--1435 (2009; Zbl 1326.60046) Full Text: DOI arXiv Euclid
Tudor, Ciprian A.; Viens, Frederi G. Variations and estimators for self-similarity parameters via Malliavin calculus. (English) Zbl 1196.60036 Ann. Probab. 37, No. 6, 2093-2134 (2009). Reviewer: Nicko G. Gamkrelidze (Moskva) MSC: 60F05 60G18 60H07 PDFBibTeX XMLCite \textit{C. A. Tudor} and \textit{F. G. Viens}, Ann. Probab. 37, No. 6, 2093--2134 (2009; Zbl 1196.60036) Full Text: DOI arXiv
Magdziarz, Marcin Correlation cascades, ergodic properties and long memory of infinitely divisible processes. (English) Zbl 1175.60047 Stochastic Processes Appl. 119, No. 10, 3416-3434 (2009). MSC: 60G52 60G10 PDFBibTeX XMLCite \textit{M. Magdziarz}, Stochastic Processes Appl. 119, No. 10, 3416--3434 (2009; Zbl 1175.60047) Full Text: DOI
Casas, Isabel; Gao, Jiti Econometric estimation in long-range dependent volatility models: theory and practice. (English) Zbl 1429.62463 J. Econom. 147, No. 1, 72-83 (2008). MSC: 62P05 62M10 62M15 PDFBibTeX XMLCite \textit{I. Casas} and \textit{J. Gao}, J. Econom. 147, No. 1, 72--83 (2008; Zbl 1429.62463) Full Text: DOI
Zimbidis, Alexandros A. Premium and reinsurance control of an ordinary insurance system with liabilities driven by a fractional Brownian motion. (English) Zbl 1164.91038 Scand. Actuar. J. 2008, No. 1, 16-33 (2008). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91B30 PDFBibTeX XMLCite \textit{A. A. Zimbidis}, Scand. Actuar. J. 2008, No. 1, 16--33 (2008; Zbl 1164.91038) Full Text: DOI
Casas, Isabel Estimation of stochastic volatility with LRD. (English) Zbl 1151.91488 Math. Comput. Simul. 78, No. 2-3, 335-340 (2008). MSC: 91B28 60H15 PDFBibTeX XMLCite \textit{I. Casas}, Math. Comput. Simul. 78, No. 2--3, 335--340 (2008; Zbl 1151.91488) Full Text: DOI
Du, Xunming A note of wavelet variance. (English) Zbl 1151.65013 Commun. Stat., Theory Methods 37, No. 5, 737-745 (2008). Reviewer: Hermann Render (Logrono) MSC: 65C60 65T60 60G10 62M10 62M15 62J10 PDFBibTeX XMLCite \textit{X. Du}, Commun. Stat., Theory Methods 37, No. 5, 737--745 (2008; Zbl 1151.65013) Full Text: DOI
Magdziarz, Marcin Short and long memory fractional Ornstein-Uhlenbeck \(\alpha\)-stable processes. (English) Zbl 1125.60042 Stoch. Models 23, No. 3, 451-473 (2007). MSC: 60G52 60H10 PDFBibTeX XMLCite \textit{M. Magdziarz}, Stoch. Models 23, No. 3, 451--473 (2007; Zbl 1125.60042) Full Text: DOI
Gander, Matthew P. S.; Stephens, David A. Stochastic volatility modelling in continuous time with general marginal distributions: inference, prediction and model selection. (English) Zbl 1255.60074 J. Stat. Plann. Inference 137, No. 10, 3068-3081 (2007). MSC: 60G51 62F15 62M10 62P05 65C40 PDFBibTeX XMLCite \textit{M. P. S. Gander} and \textit{D. A. Stephens}, J. Stat. Plann. Inference 137, No. 10, 3068--3081 (2007; Zbl 1255.60074) Full Text: DOI
Kakizawa, Yoshihide Moderate deviations for quadratic forms in Gaussian stationary processes. (English) Zbl 1118.60020 J. Multivariate Anal. 98, No. 5, 992-1017 (2007). MSC: 60F10 62M15 62M10 PDFBibTeX XMLCite \textit{Y. Kakizawa}, J. Multivariate Anal. 98, No. 5, 992--1017 (2007; Zbl 1118.60020) Full Text: DOI
Finlay, Richard; Seneta, Eugene Stationary-increment Student and variance-gamma processes. (English) Zbl 1103.62103 J. Appl. Probab. 43, No. 2, 441-453 (2006). Reviewer: Andrew Olenko (Kyïv) MSC: 62P05 62M10 60G18 60G10 PDFBibTeX XMLCite \textit{R. Finlay} and \textit{E. Seneta}, J. Appl. Probab. 43, No. 2, 441--453 (2006; Zbl 1103.62103) Full Text: DOI
Kozubowski, T. J.; Meerschaert, M. M.; Podgórski, K. Fractional Laplace motion. (English) Zbl 1100.60017 Adv. Appl. Probab. 38, No. 2, 451-464 (2006). Reviewer: Uta Freiberg (Canberra) MSC: 60G18 60E07 60G07 PDFBibTeX XMLCite \textit{T. J. Kozubowski} et al., Adv. Appl. Probab. 38, No. 2, 451--464 (2006; Zbl 1100.60017) Full Text: DOI
Tsai, Henghsiu; Chan, K. S. Temporal aggregation of stationary and non-stationary continuous-time processes. (English) Zbl 1092.62096 Scand. J. Stat. 32, No. 4, 583-597 (2005). Reviewer: R. E. Maiboroda (Kyïv) MSC: 62M15 62M20 62E20 60G10 62M10 PDFBibTeX XMLCite \textit{H. Tsai} and \textit{K. S. Chan}, Scand. J. Stat. 32, No. 4, 583--597 (2005; Zbl 1092.62096) Full Text: DOI
Tsai, Henghsiu; Chen, K. S. Quasi-maximum likelihood estimation for a class of continuous-time long-memory processes. (English) Zbl 1091.62090 J. Time Ser. Anal. 26, No. 5, 691-713 (2005). Reviewer: R. E. Maiboroda (Kyïv) MSC: 62M10 60F10 62M15 PDFBibTeX XMLCite \textit{H. Tsai} and \textit{K. S. Chen}, J. Time Ser. Anal. 26, No. 5, 691--713 (2005; Zbl 1091.62090) Full Text: DOI
Gorostiza, Luis G.; Navarro, Reyla; Rodrigues, Eliane R. Some long-range dependence processes arising from fluctuations of particle systems. (English) Zbl 1067.60013 Acta Appl. Math. 86, No. 3, 285-308 (2005). Reviewer: Tomasz Bojdecki (Warszawa) MSC: 60G15 60G18 60F17 60G20 60J80 PDFBibTeX XMLCite \textit{L. G. Gorostiza} et al., Acta Appl. Math. 86, No. 3, 285--308 (2005; Zbl 1067.60013) Full Text: DOI
Ayache, Antoine; Lévy Véhel, Jacques On the identification of the pointwise Hölder exponent of the generalized multifractional Brownian motion. (English) Zbl 1079.60029 Stochastic Processes Appl. 111, No. 1, 119-156 (2004). MSC: 60G15 60G17 60G18 PDFBibTeX XMLCite \textit{A. Ayache} and \textit{J. Lévy Véhel}, Stochastic Processes Appl. 111, No. 1, 119--156 (2004; Zbl 1079.60029) Full Text: DOI Link
Samorodnitsky, Gennady Extreme value theory, ergodic theory and the boundary between short memory and long memory for stationary stable processes. (English) Zbl 1049.60027 Ann. Probab. 32, No. 2, 1438-1468 (2004). Reviewer: Andrew Olenko (Kyïv) MSC: 60G10 37A40 PDFBibTeX XMLCite \textit{G. Samorodnitsky}, Ann. Probab. 32, No. 2, 1438--1468 (2004; Zbl 1049.60027) Full Text: DOI arXiv
Jeong, Hae-Duck J.; Pawlikowski, K.; McNickle, D. C. Generation of self-similar processes for simulation studies of telecommunication networks. (English) Zbl 1065.90008 Math. Comput. Modelling 38, No. 11-12, 1249-1257 (2003). MSC: 90B18 60G18 90B15 PDFBibTeX XMLCite \textit{H.-D. J. Jeong} et al., Math. Comput. Modelling 38, No. 11--12, 1249--1257 (2003; Zbl 1065.90008) Full Text: DOI
Li, Ming; Chi, Chi-Hung A correlation-based computational model for synthesizing long-range dependent data. (English) Zbl 1051.93095 J. Franklin Inst. 340, No. 6-7, 503-514 (2003). Reviewer: Grigori Milstein (Ekaterinburg) MSC: 93E03 60G15 60G10 PDFBibTeX XMLCite \textit{M. Li} and \textit{C.-H. Chi}, J. Franklin Inst. 340, No. 6--7, 503--514 (2003; Zbl 1051.93095) Full Text: DOI
Iglói, Endre; Terdik, György Superposition of diffusions with linear generator and its multifractal limit process. (English) Zbl 1017.60087 ESAIM, Probab. Stat. 7, 23-88 (2003). MSC: 60J60 60G10 93E12 60J70 PDFBibTeX XMLCite \textit{E. Iglói} and \textit{G. Terdik}, ESAIM, Probab. Stat. 7, 23--88 (2003; Zbl 1017.60087) Full Text: DOI Numdam EuDML
Inoue, Akihiko Asymptotic behavior for partial autocorrelation functions of fractional ARIMA processes. (English) Zbl 1073.62553 Ann. Appl. Probab. 12, No. 4, 1471-1491 (2002). MSC: 62M10 60G10 PDFBibTeX XMLCite \textit{A. Inoue}, Ann. Appl. Probab. 12, No. 4, 1471--1491 (2002; Zbl 1073.62553) Full Text: DOI
Rachev, Svetlozar T.; Samorodnitsky, Gennady Long strange segments in a long-range-dependent moving average. (English) Zbl 1053.60036 Stochastic Processes Appl. 93, No. 1, 119-148 (2001). Reviewer: Jiří Anděl (Praha) MSC: 60G10 60F15 60G70 PDFBibTeX XMLCite \textit{S. T. Rachev} and \textit{G. Samorodnitsky}, Stochastic Processes Appl. 93, No. 1, 119--148 (2001; Zbl 1053.60036) Full Text: DOI
Mishura, Yuliya; Valkeila, Esko Martingale transforms and Girsanov theorem for long-memory Gaussian processes. (English) Zbl 1002.60030 Stat. Probab. Lett. 55, No. 4, 421-430 (2001). Reviewer: Yuhu Feng (Shanghai) MSC: 60G15 60G44 60H05 PDFBibTeX XMLCite \textit{Y. Mishura} and \textit{E. Valkeila}, Stat. Probab. Lett. 55, No. 4, 421--430 (2001; Zbl 1002.60030) Full Text: DOI
Dahl, Travis A.; Willemain, Thomas R. The effect of long-memory arrivals on queue performance. (English) Zbl 1002.62075 Oper. Res. Lett. 29, No. 3, 123-127 (2001). MSC: 62M99 60K25 65C60 PDFBibTeX XMLCite \textit{T. A. Dahl} and \textit{T. R. Willemain}, Oper. Res. Lett. 29, No. 3, 123--127 (2001; Zbl 1002.62075) Full Text: DOI
Ho, Hwai-Chung; Hsing, Tailen Limit theorems for functionals of moving averages. (English) Zbl 0903.60018 Ann. Probab. 25, No. 4, 1636-1669 (1997). MSC: 60F05 60G10 PDFBibTeX XMLCite \textit{H.-C. Ho} and \textit{T. Hsing}, Ann. Probab. 25, No. 4, 1636--1669 (1997; Zbl 0903.60018) Full Text: DOI