Stochastic Processes and Long Range Dependence
From MaRDI portal
Publication:2818852
DOI10.1007/978-3-319-45575-4zbMath1376.60007OpenAlexW2555599632MaRDI QIDQ2818852
Publication date: 8 September 2016
Published in: Springer Series in Operations Research and Financial Engineering (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-45575-4
heavy tailslong-range dependenceself-similar processesstationary processesinfinitely divisible processes
Stationary stochastic processes (60G10) Self-similar stochastic processes (60G18) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)
Related Items (69)
Gaussian and hermite Ornstein–Uhlenbeck processes ⋮ Choquet random sup-measures with aggregations ⋮ An integrate-and-fire model to generate spike trains with long-range dependence ⋮ Limit theorems for conservative flows on multiple stochastic integrals ⋮ Optimal \(L^2\)-approximation of occupation and local times for symmetric stable processes ⋮ Slowly varying functions in the Zygmund sense and generalized regular variation ⋮ Spectral projections correlation structure for short-to-long range dependent processes ⋮ Tail measures and regular variation ⋮ Extremes of Lévy-driven spatial random fields with regularly varying Lévy measure ⋮ Estimation of cluster functionals for regularly varying time series: runs estimators ⋮ Representations of \(\max\)-stable processes via exponential tilting ⋮ On almost sure limit theorems for heavy-tailed products of long-range dependent linear processes ⋮ On operator fractional Lévy motion: integral representations and time-reversibility ⋮ Limit theorems for excursion sets of subordinated Gaussian random fields with long-range dependence ⋮ Aggregation of network traffic and anisotropic scaling of random fields ⋮ The harmonic mean formula for random processes ⋮ Local scaling limits of Lévy driven fractional random fields ⋮ An informatic approach to a long memory stationary process ⋮ Sandwiched SDEs with unbounded drift driven by Hölder noises ⋮ The overdamped generalized Langevin equation with Hermite noise ⋮ Long-range dependent completely correlated mixed fractional Brownian motion ⋮ Parameter identification for the Hermite Ornstein-Uhlenbeck process ⋮ Smoluchowski processes and nonparametric estimation of functionals of particle displacement distributions from count data ⋮ Symmetric stable processes on amenable groups ⋮ Long memory of max-stable time series as phase transition: asymptotic behaviour of tail dependence estimators ⋮ Fractional processes and their statistical inference: an overview ⋮ Tail adversarial stability for regularly varying linear processes and their extensions ⋮ A functional non-central limit theorem for multiple-stable processes with long-range dependence ⋮ On the Gaussian Volterra processes with power-type kernels ⋮ Fractal dimensions of the Rosenblatt process ⋮ Clustering of large deviations in moving average processes: the long memory regime ⋮ On estimating the structure factor of a point process, with applications to hyperuniformity ⋮ Detection of long range dependence in the time domain for (in)finite-variance time series ⋮ FINANCIAL MARKETS WITH NO RISKLESS (SAFE) ASSET ⋮ A new shape of extremal clusters for certain stationary semi-exponential processes with moderate long range dependence ⋮ Distance covariance for discretized stochastic processes ⋮ Applications of distance correlation to time series ⋮ Extreme value theory for long-range-dependent stable random fields ⋮ Unnamed Item ⋮ Regularly distributed randomly stopped sum, minimum, and maximum ⋮ Sensitivity of the Hermite rank ⋮ How the instability of ranks under long memory affects large-sample inference ⋮ From random partitions to fractional Brownian sheets ⋮ Long range dependence of heavy-tailed random functions ⋮ From infinite urn schemes to self-similar stable processes ⋮ Self-similar stochastic processes with stationary increments as limits of particle systems ⋮ On discrete-time self-similar processes with stationary increments ⋮ Random walks in doubly random scenery ⋮ Heavy-tailed distributions, correlations, kurtosis and Taylor’s Law of fluctuation scaling ⋮ A family of random sup-measures with long-range dependence ⋮ Generalized operator-scaling random ball model ⋮ On categorical time series models with covariates ⋮ Operator-scaling Gaussian random fields via aggregation ⋮ Variational solutions of stochastic partial differential equations with cylindrical Lévy noise ⋮ Stochastic differential equations with a fractionally filtered delay: a semimartingale model for long-range dependent processes ⋮ Limit theorems for long-memory flows on Wiener chaos ⋮ Large deviations for a class of tempered subordinators and their inverse processes ⋮ Simulations for Karlin random fields ⋮ Anisotropic scaling limits of long-range dependent random fields ⋮ Phase transition for extremes of a stochastic model with long-range dependence and multiplicative noise ⋮ Randomized multivariate central limit theorems for ergodic homogeneous random fields ⋮ The cosine series and regular variation in the Karamata and Zygmund senses ⋮ Parameter estimation for ARTFIMA time series ⋮ Extremal clustering under moderate long range dependence and moderately heavy tails ⋮ PRICING DERIVATIVES IN HERMITE MARKETS ⋮ Extremal theory for long range dependent infinitely divisible processes ⋮ Long range dependence for stable random processes ⋮ Asymptotic theory for the detection of mixing in anomalous diffusion ⋮ How does tempering affect the local and global properties of fractional Brownian motion?
This page was built for publication: Stochastic Processes and Long Range Dependence
