Compute Distance To:
 Documents Indexed: 242 Publications since 1975, including 4 Books 7 Contributions as Editor Co-Authors: 103 Co-Authors with 234 Joint Publications 2,574 Co-Co-Authors
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### Co-Authors

 12 single-authored 25 Pipiras, Vladas 17 Bai, Shuyang 17 Samorodnitsky, Gennady Pinkhosovich 13 Stoev, Stilian A. 12 Levy, Joshua B. 12 Willinger, Walter 11 Kokoszka, Piotr S. 11 Leonenko, Nikolai N. 11 Roueff, François 9 Avram, Florin 8 Giraitis, Liudas 8 Teverovsky, Vadim 7 Dehling, Herold G. 7 Lévy-Leduc, Céline 7 Moulines, Eric 7 Veillette, Mark S. 6 Cioczek-Georges, Renata 6 Grahovac, Danijel 6 Peccati, Giovanni 6 Terrin, Norma 5 Abry, Patrice 5 Clausel, Marianne 5 Ginovyan, Mamikon S. 5 Reisen, Valdério Anselmo 4 Fox, Robert W. 4 Tudor, Ciprian A. 3 Ayache, Antoine 3 Boistard, Hélène 3 McConnell, Terry R. 3 Ruiz-Medina, María Dolores 3 Veitch, Darryl 2 Astrauskas, Arvydas 2 Bardet, Jean-Marc 2 Bradley, Brendan O. 2 Brillinger, David R. 2 Caines, Peter Edwin 2 Crovella, Mark E. 2 Czado, Claudia 2 Geweke, John F. 2 Hamrick, Jeff 2 Hardin, Clyde D. jun. 2 Lang, Gabriel 2 Mandelbrot, Benoit B. 2 Marron, James Stephen 2 Michailidis, George C. 2 Nourdin, Ivan 2 Nualart, David 2 Oppenheim, Georges G. 2 Park, Cheolwoo 2 Parzen, Emanuel 2 Paxson, Vern 2 Philippe, Anne 2 Rooch, Aeneas 2 Rosenblatt, Murray 2 Rosiński, Jan 2 Taniguchi, Masanobu 2 Wolpert, Robert L. 2 Zhou, Yingchun 1 Adler, Robert Joseph 1 Akashi, Fumiya 1 Babayan, Nikolay M. 1 Bercu, Bernard 1 Bestavros, Azer 1 Bourguin, Solesne 1 Bru, Bernard 1 Cambanis, Stamatis 1 Campese, Simon 1 Cohen, Serge 1 Conti, Pier Luigi 1 De Giovanni, Livia 1 Dedecker, Jérôme 1 Doukhan, Paul 1 Eberlein, Ernst W. 1 Epstein, Raisa 1 Erramilli, Ashok 1 Fajardo, F. A. 1 Faÿ, Gilles 1 Flandrin, Patrick 1 Genton, Marc G. 1 Godtliebsen, Fred 1 Goldberg, Jeffrey B. 1 Huang, Yifei 1 Ichiba, Tomoyuki 1 Jaffard, Stéphane 1 Kaj, Ingemar 1 Kallsen, Jan 1 Karatzas, Ioannis 1 Kardaras, Constantinos 1 Leland, Will E. 1 Mandelbaum, Avi 1 Meyer, Yves F. 1 Oppenheim, George 1 Pang, Guodong 1 Perrin, Olivier 1 Rajput, Balram S. 1 Riedi, Rolf H. 1 Sahakyan, Artur A. 1 Sellan, Fabrice 1 Sikorskii, Alla 1 Solé, Josep Lluís ...and 4 more Co-Authors
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### Serials

 23 Stochastic Processes and their Applications 14 Journal of Time Series Analysis 13 The Annals of Probability 13 Bernoulli 11 Statistics & Probability Letters 11 Journal of Theoretical Probability 10 Fractals 8 The Annals of Statistics 8 Probability Theory and Related Fields 6 Methodology and Computing in Applied Probability 5 Journal of Multivariate Analysis 4 Journal of Statistical Planning and Inference 4 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 4 Electronic Journal of Probability 3 Journal of Econometrics 3 Statistical Science 3 Signal Processing 3 Electronic Journal of Statistics 2 Advances in Applied Probability 2 Scandinavian Journal of Statistics 2 Stochastic Analysis and Applications 2 Communications in Statistics. Stochastic Models 2 Statistics 2 Mathematical and Computer Modelling 2 Computational Statistics and Data Analysis 2 Statistica Sinica 2 The Journal of Fourier Analysis and Applications 2 Finance and Stochastics 2 Mathematical Finance 2 Statistical Inference for Stochastic Processes 2 Quantitative Finance 2 Stochastics and Dynamics 2 The IMA Volumes in Mathematics and its Applications 2 ALEA. Latin American Journal of Probability and Mathematical Statistics 2 Probability Surveys 1 IEEE Transactions on Information Theory 1 Journal of Statistical Physics 1 Lithuanian Mathematical Journal 1 Metrika 1 Annales des Sciences Mathématiques du Québec 1 Gazette des Mathématiciens 1 Journal of Applied Probability 1 Nagoya Mathematical Journal 1 Rendiconti di Matematica e delle sue Applicazioni. Serie VII 1 Acta Mathematica Hungarica 1 Revista Matemática Iberoamericana 1 Publicacions Matemàtiques 1 The Annals of Applied Probability 1 Litovskiĭ Matematicheskiĭ Sbornik 1 SIAM Journal on Mathematical Analysis 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 Applied and Computational Harmonic Analysis 1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 1 Mathematical Methods of Operations Research 1 International Journal of Theoretical and Applied Finance 1 Extremes 1 Discussiones Mathematicae. Probability and Statistics 1 Stochastic Models 1 Stochastics 1 Bulletin of the International Statistical Institute 1 Progress in Probability 1 Cambridge Series in Statistical and Probabilistic Mathematics 1 Communications on Stochastic Analysis 1 Bocconi & Springer Series 1 Trends in Mathematics 1 SpringerBriefs in Probability and Mathematical Statistics 1 Progress in Probability and Statistics 1 Japanese Journal of Statistics and Data Science
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### Fields

 204 Probability theory and stochastic processes (60-XX) 90 Statistics (62-XX) 15 Numerical analysis (65-XX) 11 Harmonic analysis on Euclidean spaces (42-XX) 9 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 8 Operations research, mathematical programming (90-XX) 7 General and overarching topics; collections (00-XX) 7 Information and communication theory, circuits (94-XX) 5 Real functions (26-XX) 5 Measure and integration (28-XX) 4 Special functions (33-XX) 4 Dynamical systems and ergodic theory (37-XX) 3 Combinatorics (05-XX) 3 Linear and multilinear algebra; matrix theory (15-XX) 2 History and biography (01-XX) 2 Partial differential equations (35-XX) 2 Statistical mechanics, structure of matter (82-XX) 1 Number theory (11-XX) 1 Approximations and expansions (41-XX) 1 Functional analysis (46-XX) 1 Operator theory (47-XX) 1 Convex and discrete geometry (52-XX) 1 Quantum theory (81-XX) 1 Astronomy and astrophysics (85-XX)

### Citations contained in zbMATH Open

223 Publications have been cited 5,537 times in 3,218 Documents Cited by Year
Stable non-Gaussian random processes: stochastic models with infinite variance. Zbl 0925.60027
1994
Weak convergence to fractional Brownian motion and to the Rosenblatt process. Zbl 0303.60033
1975
Convergence of integrated processes of arbitrary Hermite rank. Zbl 0397.60028
1979
Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series. Zbl 0606.62096
1986
Theory and applications of long-range dependence. Zbl 1005.00017
2003
Integration questions related to fractional Brownian motion. Zbl 0970.60058
2000
Wiener chaos: Moments, cumulants and diagrams. A survey with computer implementation. Zbl 1231.60003
2011
The empirical process of some long-range dependent sequences with an application to U-statistics. Zbl 0696.60032
1989
Law of the iterated logarithm for sums of non-linear functions of Gaussian variables that exhibit a long range dependence. Zbl 0358.60048
1977
A practical guide to heavy tails. Statistical techniques and applications. Zbl 0901.00010
1998
Estimators for long-range dependence: An empirical study. Zbl 0864.62061
1995
Stock market prices and long-range dependence. Zbl 0924.90029
1999
Noncentral limit theorems and Appell polynomials. Zbl 0624.60049
1987
Central limit theorems for quadratic forms in random variables having long-range dependence. Zbl 0586.60019
1987
Fractional ARIMA with stable innovations. Zbl 0846.62066
Kokoszka, Piotr S.; Taqqu, Murad S.
1995
Are classes of deterministic integrands for fractional Brownian motion on an interval complete? Zbl 1003.60055
2001
Fractional Brownian motion and long-range dependence. Zbl 1039.60041
2003
Long-range dependence and self-similarity. Zbl 1377.60005
2017
Self-similarity in high-speed packet traffic: analysis and modeling of Ethernet traffic measurements. Zbl 1148.90310
Willinger, Walter; Taqqu, Murad S.; Leland, Will E.; Wilson, Daniel V.
1995
Parameter estimation for infinite variance fractional ARIMA. Zbl 0896.62092
Kokoszka, Piotr S.; Taqqu, Murad S.
1996
Weak convergence of sums of moving averages in the $$\alpha$$-stable domain of attraction. Zbl 0747.60032
1992
Stein’s method and normal approximation of Poisson functionals. Zbl 1195.60037
Peccati, G.; Solé, J. L.; Taqqu, M. S.; Utzet, F.
2010
Convergence to fractional Brownian motion and to the telecom process: the integral representation approach. Zbl 1154.60020
2008
Wavelets, generalized white noise and fractional integration: The synthesis of fractional Brownian motion. Zbl 0948.60026
Meyer, Yves; Sellan, Fabrice; Taqqu, Murad S.
1999
Properties and numerical evaluation of the Rosenblatt distribution. Zbl 1273.60020
Veillette, Mark S.; Taqqu, Murad S.
2013
On the spectral density of the wavelet coefficients of long-memory time series with application to the log-regression estimation of the memory parameter. Zbl 1150.62058
Moulines, E.; Roueff, F.; Taqqu, M. S.
2007
Extremal stochastic integrals: a parallel between max-stable processes and $$\alpha$$-stable processes. Zbl 1142.60355
Stoev, Stilian A.; Taqqu, Murad S.
2005
Robust R/S analysis of long-run serial correlation. Zbl 0518.62036
Mandelbrot, Benoit B.; Taqqu, Murad S.
1979
Regularization and integral representations of Hermite processes. Zbl 1216.60029
2010
Simulation methods for linear fractional stable motion and FARIMA using the fast Fourier transform. Zbl 1083.65005
2004
Fractional Ornstein-Uhlenbeck Lévy processes and the telecom process: Upstairs and downstairs. Zbl 1160.94370
Wolpert, Robert L.; Taqqu, Murad S.
2005
How rich is the class of multifractional Brownian motions? Zbl 1094.60024
Stoev, Stilian A.; Taqqu, Murad S.
2006
Whittle estimator for finite-variance non-Gaussian time series with long memory. Zbl 0945.62085
1999
Heavy-tailed probability distributions in the World Wide Web. Zbl 0945.62130
Crovella, Mark E.; Taqqu, Murad S.; Bestavros, Azer
1998
Estimators of long-memory: Fourier versus wavelets. Zbl 1431.62367
Faÿ, Gilles; Moulines, Eric; Roueff, François; Taqqu, Murad S.
2009
Noncentral limit theorems for quadratic forms in random variables having long-range dependence. Zbl 0569.60016
1985
Renewal reward processes with heavy-tailed inter-renewal times and heavy-tailed rewards. Zbl 0954.60071
Levy, Joshua B.; Taqqu, Murad S.
2000
Self-similarity and heavy tails: Structural modeling of network traffic. Zbl 0926.90014
Willinger, Walter; Paxson, Vern; Taqqu, Murad S.
1998
Self-similarity and long-range dependence through the wavelet lens. Zbl 1029.60028
Abry, Patrice; Flandrin, Patrick; Taqqu, Murad S.; Veitch, Darryl
2003
A wavelet Whittle estimator of the memory parameter of a nonstationary Gaussian time series. Zbl 1142.62062
Moulines, E.; Roueff, F.; Taqqu, M. S.
2008
Multiple stochastic integrals with dependent integrators. Zbl 0649.60064
1987
A critical look at Lo’s modified $$R/S$$ statistic. Zbl 1044.60508
1999
On estimating the intensity of long-range dependence in finite and infinite variance time series. Zbl 0922.62091
1998
Infinite variance stable ARMA processes. Zbl 0804.62082
Kokoszka, Piotr S.; Taqqu, Murad S.
1994
Multifractional processes with random exponent. Zbl 1082.60032
2005
Non-parametric change-point tests for long-range dependent data. Zbl 1259.62028
Dehling, Herold; Rooch, Aeneas; Taqqu, Murad S.
2013
Estimation of the self-similarity parameter in linear fractional stable motion. Zbl 1098.94589
2002
Infinite variance self-similar processes subordinate to a Poisson measure. Zbl 0488.60066
Taqqu, Murad S.; Wolpert, Robert L.
1983
Rate optimality of wavelet series approximations of fractional Brownian motion. Zbl 1050.60043
2003
A representation for self-similar processes. Zbl 0373.60048
1978
Semi-parametric estimation of the long-range dependence parameter: A survey. Zbl 1032.62077
Bardet, Jean-Marc; Lang, Gabriel; Oppenheim, Georges; Philippe, Anne; Stoev, Stilian; Taqqu, Murad S.
2003
Stochastic properties of the linear multifractional stable motion. Zbl 1068.60057
2004
A noncentral limit theorem for quadratic forms of Gaussian stationary sequences. Zbl 0724.60048
1990
Generators of long-range dependent processes: A survey. Zbl 1031.65010
Bardet, Jean-Marc; Lang, Gabriel; Oppenheim, Georges; Philippe, Anne; Taqqu, Murad S.
2003
Asymptotic properties of $$U$$-processes under long-range dependence. Zbl 1242.62100
Lévy-Leduc, C.; Boistard, H.; Moulines, E.; Taqqu, M. S.; Reisen, V. A.
2011
Robustness of Whittle-type estimators for time series with long-range dependence. Zbl 1090.62555
1997
Numerical computation of first-passage times of increasing Lévy processes. Zbl 1213.60094
2010
The structure of self-similar stable mixed moving averages. Zbl 1016.60057
2002
The analysis of finite security markets using martingales. Zbl 0618.60047
1987
Testing for long-range dependence in the presence of shifting means or a slowly declining trend, using a variance-type estimator. Zbl 0934.62094
1997
Slow, fast and arbitrary growth conditions for renewal-reward processes when both the renewals and the rewards are heavy-tailed. Zbl 1043.60040
2004
Generalized Hermite processes, discrete chaos and limit theorems. Zbl 1282.60043
2014
A bibliographical guide to self-similar traffic and performance modeling for modern high-speed networks. Zbl 0855.60086
Willinger, Walter; Taqqu, Murad S.; Erramilli, Ashok
1996
Wavelet construction of generalized multifractional processes. Zbl 1123.60022
Ayache, Antoine; Jaffard, Stéphane; Taqqu, Murad S.
2007
Multivariate limit theorems in the context of long-range dependence. Zbl 1291.62160
2013
Using differential equations to obtain joint moments of first-passage times of increasing Lévy processes. Zbl 1203.60049
2010
Path properties of the linear multifractional stable motion. Zbl 1304.28010
2005
Central limit theorem for the log-regression wavelet estimation of the memory parameter in the Gaussian semi-parametric context. Zbl 1141.62073
Moulines, E.; Roueff, F.; Taqqu, Murad S.
2007
LASS: a tool for the local analysis of self-similarity. Zbl 1445.62240
Stoev, Stilian; Taqqu, Murad S.; Park, Cheolwoo; Michailidis, George; Marron, J. S.
2006
Asymptotic normality of wavelet estimators of the memory parameter for linear processes. Zbl 1224.62068
Roueff, F.; Taqqu, M. S.
2009
Decomposition of self-similar stable mixed moving averages. Zbl 1007.60026
2002
Decoupling inequalities for multilinear forms in independent symmetric random variables. Zbl 0602.60025
McConnell, Terry R.; Taqqu, Murad S.
1986
Bivariate symmetric statistics of long-range dependent observations. Zbl 0737.62042
1991
Option pricing in ARCH-type models. Zbl 0911.90028
1998
Long-range dependence and data network traffic. Zbl 1109.60317
Willinger, Walter; Paxson, Vern; Riedi, Rolf H.; Taqqu, Murad S.
2003
On the efficiency of the sample mean in long-memory noise. Zbl 0637.62085
1988
Stochastic monotonicity and Slepian-type inequalities for infinitely divisible and stable random vectors. Zbl 0771.60017
1993
Fractional calculus and its connections to fractional Brownian motion. Zbl 1031.60047
2003
Self-similarity and Lamperti transformation for random fields. Zbl 1125.60046
Genton, Marc G.; Perrin, Olivier; Taqqu, Murad S.
2007
Bounds for the covariance of functions of infinite variance stable random variables with applications to central limit theorems and wavelet-based estimation. Zbl 1129.62021
2007
Behavior of the generalized Rosenblatt process at extreme critical exponent values. Zbl 1392.60026
2017
Using renewal processes to generate long-range dependence and high variability. Zbl 0601.60085
Taqqu, Murad S.; Levy, Joshua B.
1986
Invariance principle for symmetric statistics. Zbl 0547.60039
1984
The asymptotic dependence structure of the linear fractional Lévy motion. Zbl 0786.60052
Astrauskas, A.; Lévy, J. B.; Taqqu, M. S.
1991
Limit theorems for bivariate Appell polynomials. I: Central limit theorems. Zbl 0873.60007
1997
Fractional elliptic, hyperbolic and parabolic random fields. Zbl 1231.60045
Leonenko, Nikolai; Ruiz-Medina, María D.; Taqqu, Murad S.
2011
Robust estimation of the scale and of the autocovariance function of Gaussian short- and long-range dependent processes. Zbl 1290.62082
Lévy-Leduc, Céline; Boistard, Hélène; Moulines, Eric; Taqqu, Murad S.; Reisen, Valderio A.
2011
A bibliographical guide to self-similar processes and long-range dependence. Zbl 0596.60054
1986
Stable stationary processes related to cyclic flows. Zbl 1054.60056
2004
Central limit theorems for quadratic forms with time-domain conditions. Zbl 0943.60018
1998
Dependence in probability and statistics. A survey of recent results. (Oberwolfach, 1985). Zbl 0591.00012
1986
Meaningful MRA initialization for discrete time series. Zbl 1035.94520
Veitch, D.; Taqqu, M. S.; Abry, P.
2000
Central limit theorems for double Poisson integrals. Zbl 1165.60014
2008
Estimating long-range dependence in the presence of periodicity: An empirical study. Zbl 0999.62072
Montanari, A.; Taqqu, M. S.; Teverovsky, V.
1999
The limit of a renewal reward process with heavy-tailed rewards is not a linear fractional stable motion. Zbl 0963.60032
2000
Conditional moments and linear regression for stable random variables. Zbl 0739.62016
1991
On the automatic selection of the onset of scaling. Zbl 1056.62102
Veitch, Darryl; Abry, Patrice; Taqqu, Murad S.
2003
Asymptotic self-similarity and wavelet estimation for long-range dependent fractional autoregressive integrated moving average time series with stable innovations. Zbl 1091.62087
2005
Wick-Itô formula for Gaussian processes. Zbl 1123.60041
2006
Almost sure central limit theorems on the Wiener space. Zbl 1219.60020
Bercu, Bernard; Nourdin, Ivan; Taqqu, Murad S.
2010
Extensions of Rosenblatt’s results on the asymptotic behavior of the prediction error for deterministic stationary sequences. Zbl 07433903
Babayan, Nikolay M.; Ginovyan, Mamikon S.; Taqqu, Murad S.
2021
Limit theorems for long-memory flows on Wiener chaos. Zbl 1466.60072
2020
The multifaceted behavior of integrated supOU processes: the infinite variance case. Zbl 1469.60078
Grahovac, Danijel; Leonenko, Nikolai N.; Taqqu, Murad S.
2020
The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes. Zbl 1466.60095
Grahovac, Danijel; Leonenko, Nikolai N.; Sikorskii, Alla; Taqqu, Murad S.
2019
Four moments theorems on Markov chaos. Zbl 1466.60041
Bourguin, Solesne; Campese, Simon; Leonenko, Nikolai; Taqqu, Murad S.
2019
Limit theorems, scaling of moments and intermittency for integrated finite variance supOU processes. Zbl 1427.60045
Grahovac, Danijel; Leonenko, Nikolai N.; Taqqu, Murad S.
2019
Sensitivity of the Hermite rank. Zbl 1412.62114
2019
How the instability of ranks under long memory affects large-sample inference. Zbl 1407.62274
2018
Estimation of the covariance function of Gaussian isotropic random fields on spheres, related Rosenblatt-type distributions and the cosmic variance problem. Zbl 1403.62173
Leonenko, Nikolai N.; Taqqu, Murad S.; Terdik, Gyorgy H.
2018
Intermittency of trawl processes. Zbl 1406.60052
Grahovac, Danijel; Leonenko, Nikolai N.; Taqqu, Murad S.
2018
Long-range dependence and self-similarity. Zbl 1377.60005
2017
Behavior of the generalized Rosenblatt process at extreme critical exponent values. Zbl 1392.60026
2017
Rosenblatt distribution subordinated to Gaussian random fields with long-range dependence. Zbl 1359.60066
Leonenko, N. N.; Ruiz-Medina, M. D.; Taqqu, M. S.
2017
Stable non-Gaussian self-similar processes with stationary increments. Zbl 06755681
2017
Asymptotic normality of quadratic forms of martingale differences. Zbl 06821278
Giraitis, Liudas; Taniguchi, Masanobu; Taqqu, Murad S.
2017
The impact of the diagonals of polynomial forms on limit theorems with long memory. Zbl 1360.60048
2017
On the validity of resampling methods under long memory. Zbl 1395.62262
2017
An $$M$$-estimator for the long-memory parameter. Zbl 1391.62173
Reisen, V. A.; Lévy-Leduc, C.; Taqqu, M. S.
2017
Power of change-point tests for long-range dependent data. Zbl 1378.62064
Dehling, Herold; Rooch, Aeneas; Taqqu, Murad S.
2017
Non-central limit theorems for random fields subordinated to gamma-correlated random fields. Zbl 1407.60074
Leonenko, Nikolai; Ruiz-Medina, M. Dolores; Taqqu, Murad S.
2017
Limit theorems for quadratic forms of Lévy-driven continuous-time linear processes. Zbl 1333.60024
Bai, Shuyang; Ginovyan, Mamikon S.; Taqqu, Murad S.
2016
A unified approach to self-normalized block sampling. Zbl 1338.62123
Bai, Shuyang; Taqqu, Murad S.; Zhang, Ting
2016
The universality of homogeneous polynomial forms and critical limits. Zbl 1357.60021
2016
Weak convergence of the empirical process of intermittent maps in $$\mathbb{L}^{2}$$ under long-range dependence. Zbl 1315.60038
Dedecker, Jérôme; Dehling, Herold; Taqqu, Murad S.
2015
Scaling properties of the empirical structure function of linear fractional stable motion and estimation of its parameters. Zbl 1319.60080
Grahovac, Danijel; Leonenko, Nikolai N.; Taqqu, Murad S.
2015
Functional limit theorems for Toeplitz quadratic functionals of continuous time Gaussian stationary processes. Zbl 1322.60027
Bai, Shuyang; Ginovyan, Mamikon S.; Taqqu, Murad S.
2015
Convergence of long-memory discrete $$k$$th order Volterra processes. Zbl 1329.60022
2015
Generalized Hermite processes, discrete chaos and limit theorems. Zbl 1282.60043
2014
Wavelet estimation of the long memory parameter for Hermite polynomial of Gaussian processes. Zbl 1310.42023
Clausel, M.; Roueff, F.; Taqqu, M. S.; Tudor, C.
2014
The trace problem for Toeplitz matrices and operators and its impact in probability. Zbl 1348.60054
Ginovyan, Mamikon S.; Sahakyan, Artur A.; Taqqu, Murad S.
2014
Central and non-central limit theorems in a free probability setting. Zbl 1314.46077
2014
Structure of the third moment of the generalized Rosenblatt distribution. Zbl 1301.60047
2014
Asymptotic behavior of the quadratic variation of the sum of two Hermite processes of consecutive orders. Zbl 1333.60072
Clausel, M.; Roueff, F.; Taqqu, M. S.; Tudor, C.
2014
Hermite ranks and $$U$$-statistics. Zbl 1282.62182
Lévy-Leduc, C.; Taqqu, M. S.
2014
The asymptotic codifference and covariation of log-fractional stable noise. Zbl 1311.60054
Levy, Joshua B.; Taqqu, Murad S.
2014
Properties and numerical evaluation of the Rosenblatt distribution. Zbl 1273.60020
Veillette, Mark S.; Taqqu, Murad S.
2013
Non-parametric change-point tests for long-range dependent data. Zbl 1259.62028
Dehling, Herold; Rooch, Aeneas; Taqqu, Murad S.
2013
Multivariate limit theorems in the context of long-range dependence. Zbl 1291.62160
2013
Benoît Mandelbrot and fractional Brownian motion. Zbl 1332.60008
2013
High order chaotic limits of wavelet scalograms under long-range dependence. Zbl 1280.42031
Clausel, M.; Roueff, F.; Taqqu, M. S.; Tudor, C.
2013
Long-range dependence and the rank of decompositions. Zbl 1321.60074
2013
Multivariate limits of multilinear polynomial-form processes with long memory. Zbl 1307.60037
2013
Berry-Esseen and Edgeworth approximations for the normalized tail of an infinite sum of independent weighted gamma random variables. Zbl 1236.60027
Veillette, Mark S.; Taqqu, Murad S.
2012
Large scale behavior of wavelet coefficients of non-linear subordinated processes with long memory. Zbl 1244.60044
Clausel, Marianne; Roueff, François; Taqqu, Murad S.; Tudor, Ciprian
2012
Distribution functions of Poisson random integrals: analysis and computation. Zbl 1253.60069
2012
Wiener chaos: Moments, cumulants and diagrams. A survey with computer implementation. Zbl 1231.60003
2011
Asymptotic properties of $$U$$-processes under long-range dependence. Zbl 1242.62100
Lévy-Leduc, C.; Boistard, H.; Moulines, E.; Taqqu, M. S.; Reisen, V. A.
2011
Fractional elliptic, hyperbolic and parabolic random fields. Zbl 1231.60045
Leonenko, Nikolai; Ruiz-Medina, María D.; Taqqu, Murad S.
2011
Robust estimation of the scale and of the autocovariance function of Gaussian short- and long-range dependent processes. Zbl 1290.62082
Lévy-Leduc, Céline; Boistard, Hélène; Moulines, Eric; Taqqu, Murad S.; Reisen, Valderio A.
2011
Estimating heavy-tail exponents through max self-similarity. Zbl 1366.62041
Stoev, Stilian A.; Michailidis, George; Taqqu, Murad S.
2011
Large sample behaviour of some well-known robust estimators under long-range dependence. Zbl 1291.62108
Lévy-Leduc, C.; Boistard, H.; Moulines, E.; Taqqu, M. S.; Reisen, V. A.
2011
A technique for computing the PDFs and CDFs of nonnegative infinitely divisible random variables. Zbl 1210.60023
Veillette, Mark S.; Taqqu, Murad S.
2011
Maximum penalized quasi-likelihood estimation of the diffusion function. Zbl 1277.91200
Hamrick, Jeff; Huang, Yifei; Kardaras, Constantinos; Taqqu, Murad S.
2011
The long-range dependence of linear log-fractional stable motion. Zbl 1331.60066
Levy, Joshua B.; Taqqu, Murad S.
2011
Stein’s method and normal approximation of Poisson functionals. Zbl 1195.60037
Peccati, G.; Solé, J. L.; Taqqu, M. S.; Utzet, F.
2010
Regularization and integral representations of Hermite processes. Zbl 1216.60029
2010
Numerical computation of first-passage times of increasing Lévy processes. Zbl 1213.60094
2010
Using differential equations to obtain joint moments of first-passage times of increasing Lévy processes. Zbl 1203.60049
2010
Almost sure central limit theorems on the Wiener space. Zbl 1219.60020
Bercu, Bernard; Nourdin, Ivan; Taqqu, Murad S.
2010
Estimators of long-memory: Fourier versus wavelets. Zbl 1431.62367
Faÿ, Gilles; Moulines, Eric; Roueff, François; Taqqu, Murad S.
2009
Asymptotic normality of wavelet estimators of the memory parameter for linear processes. Zbl 1224.62068
Roueff, F.; Taqqu, M. S.
2009
Central limit theorems for arrays of decimated linear processes. Zbl 1173.60311
Roueff, F.; Taqqu, M. S.
2009
Testing diffusion processes for non-stationarity. Zbl 1173.91025
2009
Convergence to fractional Brownian motion and to the telecom process: the integral representation approach. Zbl 1154.60020
2008
A wavelet Whittle estimator of the memory parameter of a nonstationary Gaussian time series. Zbl 1142.62062
Moulines, E.; Roueff, F.; Taqqu, M. S.
2008
Central limit theorems for double Poisson integrals. Zbl 1165.60014
2008
Stable convergence of multiple Wiener–Itô integrals. Zbl 1157.60050
2008
Limit theorems for multiple stochastic integrals. Zbl 1162.60311
2008
Confidence intervals for the long memory parameter based on wavelets and resampling. Zbl 1135.62023
Conti, Pier Luigi; De Giovanni, Livia; Stoev, Stilian A.; Taqqu, Murad S.
2008
Wick-Itô formula for regular processes and applications to the Black and Scholes formula. Zbl 1160.60012
2008
The dependence structure of log-fractional stable noise with analogy to fractional Gaussian noise. Zbl 1175.60048
Taqqu, Murad S.; Levy, Joshua B.
2008
Small and large scale asymptotics of some Lévy stochastic integrals. Zbl 1140.60324
2008
On the spectral density of the wavelet coefficients of long-memory time series with application to the log-regression estimation of the memory parameter. Zbl 1150.62058
Moulines, E.; Roueff, F.; Taqqu, M. S.
2007
Wavelet construction of generalized multifractional processes. Zbl 1123.60022
Ayache, Antoine; Jaffard, Stéphane; Taqqu, Murad S.
2007
Central limit theorem for the log-regression wavelet estimation of the memory parameter in the Gaussian semi-parametric context. Zbl 1141.62073
Moulines, E.; Roueff, F.; Taqqu, Murad S.
2007
Self-similarity and Lamperti transformation for random fields. Zbl 1125.60046
Genton, Marc G.; Perrin, Olivier; Taqqu, Murad S.
2007
Bounds for the covariance of functions of infinite variance stable random variables with applications to central limit theorems and wavelet-based estimation. Zbl 1129.62021
2007
Stable convergence of generalized $$L^{2}$$ stochastic integrals and the principle of conditioning. Zbl 1139.60024
2007
Visualization and inference based on wavelet coefficients, SiZer and SiNos. Zbl 1445.62236
Park, Cheolwoo; Godtliebsen, Fred; Taqqu, Murad; Stoev, Stilian; Marron, J. S.
2007
Limit theorems for sums of heavy-tailed variables with random dependent weights. Zbl 1134.60028
Stoev, Stilian A.; Taqqu, Murad S.
2007
Integral representations of periodic and cyclic fractional stable motions. Zbl 1130.60048
2007
How rich is the class of multifractional Brownian motions? Zbl 1094.60024
Stoev, Stilian A.; Taqqu, Murad S.
2006
LASS: a tool for the local analysis of self-similarity. Zbl 1445.62240
Stoev, Stilian; Taqqu, Murad S.; Park, Cheolwoo; Michailidis, George; Marron, J. S.
2006
Wick-Itô formula for Gaussian processes. Zbl 1123.60041
2006
Impact of the sampling rate on the estimation of the parameters of fractional Brownian motion. Zbl 1126.62072
2006
How complete random permutations affect the dependence structure of stationary sequences with long-range dependence. Zbl 1302.60062
2006
On a Szegö type limit theorem and the asymptotic theory of random sums, integrals and quadratic forms. Zbl 1113.60024
2006
Extremal stochastic integrals: a parallel between max-stable processes and $$\alpha$$-stable processes. Zbl 1142.60355
Stoev, Stilian A.; Taqqu, Murad S.
2005
Fractional Ornstein-Uhlenbeck Lévy processes and the telecom process: Upstairs and downstairs. Zbl 1160.94370
Wolpert, Robert L.; Taqqu, Murad S.
2005
Multifractional processes with random exponent. Zbl 1082.60032
2005
Path properties of the linear multifractional stable motion. Zbl 1304.28010
2005
Asymptotic self-similarity and wavelet estimation for long-range dependent fractional autoregressive integrated moving average time series with stable innovations. Zbl 1091.62087
2005
Simulation methods for linear fractional stable motion and FARIMA using the fast Fourier transform. Zbl 1083.65005
2004
Stochastic properties of the linear multifractional stable motion. Zbl 1068.60057
2004
Slow, fast and arbitrary growth conditions for renewal-reward processes when both the renewals and the rewards are heavy-tailed. Zbl 1043.60040
2004
Stable stationary processes related to cyclic flows. Zbl 1054.60056
2004
Small and large scale behavior of the Poissonized telecom process. Zbl 1066.60043
2004
Dilated fractional stable motions. Zbl 1055.60041
2004
An extreme value theory approach to the allocation of multiple assets. Zbl 1090.91037
2004
Theory and applications of long-range dependence. Zbl 1005.00017
2003
...and 123 more Documents
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### Cited by 3,077 Authors

 121 Taqqu, Murad S. 64 Leonenko, Nikolai N. 57 Surgailis, Donatas 49 Samorodnitsky, Gennady Pinkhosovich 39 Tudor, Ciprian A. 36 Meerschaert, Mark Marvin 35 Peccati, Giovanni 33 Giraitis, Liudas 33 Mikosch, Thomas 31 Nualart, David 30 Nourdin, Ivan 30 Pipiras, Vladas 28 Xiao, Yimin 27 Ayache, Antoine 27 Rachev, Svetlozar T. 27 Robinson, Peter Michael 24 Kokoszka, Piotr S. 24 Stoev, Stilian A. 23 Anh, Vo V. 22 Resnick, Sidney Ira 21 Beran, Jan 21 Marinucci, Domenico 21 Wang, Yizao 20 Koul, Hira Lal 20 Ruiz-Medina, María Dolores 18 Didier, Gustavo 18 Wang, Lihong 17 Ginovyan, Mamikon S. 17 Maejima, Makoto 17 Olenko, Andriy Yakovych 17 Paulauskas, Vygantas Ionovič 17 Reisen, Valdério Anselmo 17 Roueff, François 16 Abry, Patrice 16 Bai, Shuyang 16 Bardet, Jean-Marc 16 Wyłomańska, Agnieszka 15 Mishura, Yuliya Stepanivna 15 Shen, Guangjun 15 Yan, Litan 14 Dehling, Herold G. 14 León, José Rafael R. 14 Lévy Véhel, Jacques 14 Sabzikar, Farzad 13 Aurzada, Frank 13 Chan, Ngai Hang 13 Ghosh, Sucharita 13 Shevchenko, Georgiy M. 12 Barndorff-Nielsen, Ole Eiler 12 Davis, Richard A. 12 Gil-Alana, Luis Alberiko 12 Ho, Hwai-Chung 12 Horváth, Lajos 12 Kabluchko, Zakhar A. 12 Klüppelberg, Claudia 12 Li, Ming 12 McElroy, Tucker S. 12 Philippe, Anne 12 Radchenko, Vadym Mykolaĭovych 12 Roy, Parthanil 12 Schulte, Matthias 12 Thäle, Christoph 12 Wu, Wei Biao 11 Biermé, Hermine 11 Kozubowski, Tomasz J. 11 Kulik, Rafał 11 Leipus, Remigijus 11 Lopes, Sílvia R. C. 11 Podolskij, Mark 11 Scheffler, Hans-Peter 11 Viitasaari, Lauri 10 Albin, J. M. P. 10 Bourguin, Solesne 10 Dębicki, Krzysztof 10 Doukhan, Paul 10 Duan, Jinqiao 10 Fabozzi, Frank J. 10 Hidalgo, Javier 10 Hu, Yaozhong 10 Jolis, Maria 10 Lévy-Leduc, Céline 10 Mielniczuk, Jan 10 Moulines, Eric 10 Nolan, John P. 10 Palma, Wilfredo 10 Rosiński, Jan 10 Sahakyan, Artur A. 10 Soulier, Philippe 10 Tindel, Samy 10 Zhang, Rongmao 9 Azmoodeh, Ehsan 9 Basse-O’Connor, Andreas 9 Beghin, Luisa 9 Bender, Christian 9 Breton, Jean-Christophe 9 Coeurjolly, Jean-François 9 Dai, Hongshuai 9 Dedecker, Jérôme 9 Dombry, Clément 9 Gajda, Janusz ...and 2,977 more Authors
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### Cited in 368 Serials

 251 Stochastic Processes and their Applications 151 Statistics & Probability Letters 101 Journal of Theoretical Probability 101 Bernoulli 93 The Annals of Probability 84 Journal of Econometrics 71 Journal of Multivariate Analysis 70 Journal of Statistical Planning and Inference 69 The Annals of Statistics 69 Journal of Time Series Analysis 55 Communications in Statistics. Theory and Methods 51 The Annals of Applied Probability 50 Probability Theory and Related Fields 50 Computational Statistics and Data Analysis 49 Advances in Applied Probability 49 Stochastic Analysis and Applications 46 Journal of Applied Probability 42 Journal of Statistical Computation and Simulation 40 Journal of Mathematical Analysis and Applications 40 Econometric Theory 36 Lithuanian Mathematical Journal 35 Methodology and Computing in Applied Probability 34 Journal of Statistical Physics 31 Mathematical and Computer Modelling 30 Electronic Journal of Statistics 28 Physica A 28 Chaos, Solitons and Fractals 28 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 28 Extremes 27 Theory of Probability and Mathematical Statistics 27 Statistical Inference for Stochastic Processes 26 Stochastic Models 24 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 22 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 22 Statistical Papers 22 Electronic Journal of Probability 22 International Journal of Theoretical and Applied Finance 20 Annals of the Institute of Statistical Mathematics 20 Statistics 20 Economics Letters 20 Fractals 19 Journal of Applied Statistics 18 Communications in Statistics. Simulation and Computation 16 Journal of Functional Analysis 16 Modern Stochastics. Theory and Applications 15 Journal of Mathematical Sciences (New York) 14 Econometric Reviews 14 Queueing Systems 14 Journal of Nonparametric Statistics 14 Mathematical Problems in Engineering 14 Chaos 14 Comptes Rendus. Mathématique. Académie des Sciences, Paris 14 Stochastics and Dynamics 14 Journal of the Korean Statistical Society 14 Statistics and Computing 13 Journal of Computational and Applied Mathematics 13 Transactions of the American Mathematical Society 13 Insurance Mathematics & Economics 13 Computational Statistics 13 Fractional Calculus & Applied Analysis 13 The Annals of Applied Statistics 12 Metrika 12 Scandinavian Journal of Statistics 12 Theory of Probability and its Applications 12 Applied and Computational Harmonic Analysis 11 Quantitative Finance 11 Statistical Methods and Applications 11 Stochastics 11 ALEA. Latin American Journal of Probability and Mathematical Statistics 10 Brazilian Journal of Probability and Statistics 10 Journal of Statistical Mechanics: Theory and Experiment 9 Computers & Mathematics with Applications 9 Probability and Mathematical Statistics 9 Acta Applicandae Mathematicae 9 Potential Analysis 9 Test 9 The Journal of Fourier Analysis and Applications 9 Acta Mathematica Sinica. English Series 9 Communications in Nonlinear Science and Numerical Simulation 9 Frontiers of Mathematics in China 8 Ukrainian Mathematical Journal 8 Signal Processing 8 Mathematical Finance 8 Probability Surveys 8 Science China. Mathematics 7 Communications in Mathematical Physics 7 Journal of Mathematical Physics 7 Physics Letters. A 7 Annals of Operations Research 7 Journal of Contemporary Mathematical Analysis. Armenian Academy of Sciences 7 Random Operators and Stochastic Equations 7 Nonlinear Dynamics 6 Applied Mathematics and Computation 6 Physica D 6 Journal of Economic Dynamics & Control 6 Applied Mathematics. Series B (English Edition) 6 Electronic Communications in Probability 6 Abstract and Applied Analysis 6 Infinite Dimensional Analysis, Quantum Probability and Related Topics 6 Discrete and Continuous Dynamical Systems. Series B ...and 268 more Serials
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### Cited in 55 Fields

 2,244 Probability theory and stochastic processes (60-XX) 1,378 Statistics (62-XX) 300 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 228 Numerical analysis (65-XX) 115 Partial differential equations (35-XX) 102 Harmonic analysis on Euclidean spaces (42-XX) 92 Statistical mechanics, structure of matter (82-XX) 87 Operations research, mathematical programming (90-XX) 71 Dynamical systems and ergodic theory (37-XX) 63 Real functions (26-XX) 57 Computer science (68-XX) 56 Measure and integration (28-XX) 52 Information and communication theory, circuits (94-XX) 41 Ordinary differential equations (34-XX) 40 Functional analysis (46-XX) 35 Systems theory; control (93-XX) 34 Biology and other natural sciences (92-XX) 32 Operator theory (47-XX) 27 Special functions (33-XX) 23 Combinatorics (05-XX) 17 Fluid mechanics (76-XX) 13 Number theory (11-XX) 13 Geophysics (86-XX) 12 Calculus of variations and optimal control; optimization (49-XX) 11 Linear and multilinear algebra; matrix theory (15-XX) 11 Approximations and expansions (41-XX) 11 Convex and discrete geometry (52-XX) 10 Integral transforms, operational calculus (44-XX) 9 Integral equations (45-XX) 9 Quantum theory (81-XX) 7 Differential geometry (53-XX) 6 Global analysis, analysis on manifolds (58-XX) 5 General and overarching topics; collections (00-XX) 5 Sequences, series, summability (40-XX) 5 Mechanics of deformable solids (74-XX) 4 Difference and functional equations (39-XX) 4 Abstract harmonic analysis (43-XX) 3 History and biography (01-XX) 3 Mathematical logic and foundations (03-XX) 3 Astronomy and astrophysics (85-XX) 2 Group theory and generalizations (20-XX) 2 Topological groups, Lie groups (22-XX) 2 Functions of a complex variable (30-XX) 2 Potential theory (31-XX) 2 Algebraic topology (55-XX) 2 Mechanics of particles and systems (70-XX) 2 Classical thermodynamics, heat transfer (80-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 Commutative algebra (13-XX) 1 Algebraic geometry (14-XX) 1 Associative rings and algebras (16-XX) 1 Several complex variables and analytic spaces (32-XX) 1 Manifolds and cell complexes (57-XX) 1 Optics, electromagnetic theory (78-XX) 1 Relativity and gravitational theory (83-XX)

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