| Publication | Date of Publication | Type |
|---|
Semimartingale properties of a generalised fractional Brownian motion and its mixtures with applications in asset pricing
Finance and Stochastics | 2025-07-03 | Paper |
| scientific article; zbMATH DE number 7697177 (Why is no real title available?) | 2023-06-16 | Paper |
| scientific article; zbMATH DE number 7697205 (Why is no real title available?) | 2023-06-16 | Paper |
Intermittency and multiscaling in limit theorems
Fractals | 2022-11-09 | Paper |
Path properties of a generalized fractional Brownian motion
Journal of Theoretical Probability | 2022-03-17 | Paper |
Limit theorems for Toeplitz-type quadratic functionals of stationary processes and applications
Probability Surveys | 2022-02-01 | Paper |
Limit theorems for Toeplitz-type quadratic functionals of stationary processes and applications
Probability Surveys | 2022-02-01 | Paper |
Extensions of Rosenblatt's results on the asymptotic behavior of the prediction error for deterministic stationary sequences
Journal of Time Series Analysis | 2021-11-25 | Paper |
Intermittency and infinite variance: the case of integrated supou processes
Electronic Journal of Probability | 2021-07-21 | Paper |
| Semimartingale properties of a generalized fractional Brownian motion and its mixtures with applications in asset pricing | 2020-12-02 | Paper |
The multifaceted behavior of integrated supOU processes: the infinite variance case
Journal of Theoretical Probability | 2020-10-30 | Paper |
Limit theorems for long-memory flows on Wiener chaos
Bernoulli | 2020-02-12 | Paper |
Limit theorems, scaling of moments and intermittency for integrated finite variance supOU processes
Stochastic Processes and their Applications | 2019-12-17 | Paper |
Limit theorems, scaling of moments and intermittency for integrated finite variance supOU processes
Stochastic Processes and their Applications | 2019-12-17 | Paper |
Estimation pitfalls when the noise is not i.i.d.
Japanese Journal of Statistics and Data Science | 2019-10-18 | Paper |
Four moments theorems on Markov chaos
The Annals of Probability | 2019-06-18 | Paper |
Four moments theorems on Markov chaos
The Annals of Probability | 2019-06-18 | Paper |
The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes
Bernoulli | 2019-06-14 | Paper |
The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes
Bernoulli | 2019-06-14 | Paper |
Sensitivity of the Hermite rank
Stochastic Processes and their Applications | 2019-03-06 | Paper |
How the instability of ranks under long memory affects large-sample inference
Statistical Science | 2019-03-01 | Paper |
How the instability of ranks under long memory affects large-sample inference
Statistical Science | 2019-03-01 | Paper |
Asset allocation when guarding against catastrophic losses: a comparison between the structure variable and joint probability methods
Quantitative Finance | 2019-01-15 | Paper |
Estimation of the covariance function of Gaussian isotropic random fields on spheres, related Rosenblatt-type distributions and the cosmic variance problem
Electronic Journal of Statistics | 2018-09-26 | Paper |
\(M\)-periodogram for the analysis of long-range-dependent time series
Statistics | 2018-06-20 | Paper |
Intermittency of trawl processes
Statistics & Probability Letters | 2018-06-14 | Paper |
Robust Regression on Stationary Time Series: A Self‐Normalized Resampling Approach
Journal of Time Series Analysis | 2018-05-16 | Paper |
On the validity of resampling methods under long memory
The Annals of Statistics | 2018-02-14 | Paper |
On the validity of resampling methods under long memory
The Annals of Statistics | 2018-02-14 | Paper |
Asymptotic normality of quadratic forms of martingale differences
Statistical Inference for Stochastic Processes | 2017-12-22 | Paper |
Behavior of the generalized Rosenblatt process at extreme critical exponent values
The Annals of Probability | 2017-10-24 | Paper |
Behavior of the generalized Rosenblatt process at extreme critical exponent values
The Annals of Probability | 2017-10-24 | Paper |
An M-estimator for the long-memory parameter
Journal of Statistical Planning and Inference | 2017-09-28 | Paper |
Non-central limit theorems for random fields subordinated to gamma-correlated random fields
Bernoulli | 2017-09-21 | Paper |
Non-central limit theorems for random fields subordinated to gamma-correlated random fields
Bernoulli | 2017-09-21 | Paper |
Stable non-Gaussian self-similar processes with stationary increments
SpringerBriefs in Probability and Mathematical Statistics | 2017-08-02 | Paper |
Estimating Heavy-Tail Exponents Through Max Self–Similarity
IEEE Transactions on Information Theory | 2017-07-27 | Paper |
| Long-Range Dependence and Self-Similarity | 2017-07-12 | Paper |
Power of change-point tests for long-range dependent data
Electronic Journal of Statistics | 2017-06-08 | Paper |
Rosenblatt distribution subordinated to Gaussian random fields with long-range dependence
Stochastic Analysis and Applications | 2017-03-10 | Paper |
Rosenblatt distribution subordinated to Gaussian random fields with long-range dependence
Stochastic Analysis and Applications | 2017-03-10 | Paper |
The impact of the diagonals of polynomial forms on limit theorems with long memory
Bernoulli | 2017-01-11 | Paper |
The impact of the diagonals of polynomial forms on limit theorems with long memory
Bernoulli | 2017-01-11 | Paper |
The universality of homogeneous polynomial forms and critical limits
Journal of Theoretical Probability | 2017-01-10 | Paper |
| Hermite rank, power rank and the generalized Weierstrass transform | 2016-10-03 | Paper |
Estimators of long-memory: Fourier versus wavelets
Journal of Econometrics | 2016-07-18 | Paper |
A unified approach to self-normalized block sampling
Stochastic Processes and their Applications | 2016-05-27 | Paper |
Short-range dependent processes subordinated to the Gaussian may not be strong mixing
Statistics & Probability Letters | 2016-04-22 | Paper |
Benoît Mandelbrot and fractional Brownian motion
Statistical Science | 2016-03-08 | Paper |
Benoît Mandelbrot and fractional Brownian motion
Statistical Science | 2016-03-08 | Paper |
The long-range dependence of linear log-fractional stable motion
Communications on Stochastic Analysis | 2016-03-04 | Paper |
Limit theorems for quadratic forms of Lévy-driven continuous-time linear processes
Stochastic Processes and their Applications | 2016-03-03 | Paper |
Long-range dependence of the two-dimensional Ising model at critical temperature
Benoit Mandelbrot | 2016-01-14 | Paper |
Long-range dependence and the rank of decompositions
Fractal Geometry and Dynamical Systems in Pure and Applied Mathematics II | 2015-10-05 | Paper |
Functional limit theorems for Toeplitz quadratic functionals of continuous time Gaussian stationary processes
Statistics & Probability Letters | 2015-08-19 | Paper |
Scaling properties of the empirical structure function of linear fractional stable motion and estimation of its parameters
Journal of Statistical Physics | 2015-07-24 | Paper |
Weak convergence of the empirical process of intermittent maps in 𝕃<sup>2</sup> under long-range dependence
Stochastics and Dynamics | 2015-05-22 | Paper |
Convergence of long-memory discrete \(k\)th order Volterra processes
Stochastic Processes and their Applications | 2015-03-24 | Paper |
Large scale reduction principle and application to hypothesis testing
Electronic Journal of Statistics | 2015-03-04 | Paper |
Large scale reduction principle and application to hypothesis testing
Electronic Journal of Statistics | 2015-03-04 | Paper |
Wavelet estimation of the long memory parameter for Hermite polynomial of Gaussian processes
ESAIM: Probability and Statistics | 2015-02-17 | Paper |
Wavelet estimation of the long memory parameter for Hermite polynomial of Gaussian processes
ESAIM: Probability and Statistics | 2015-02-17 | Paper |
Path properties of the linear multifractional stable motion
Fractals | 2015-01-30 | Paper |
The trace problem for Toeplitz matrices and operators and its impact in probability
Probability Surveys | 2015-01-14 | Paper |
The trace problem for Toeplitz matrices and operators and its impact in probability
Probability Surveys | 2015-01-14 | Paper |
How complete random permutations affect the dependence structure of stationary sequences with long-range dependence
Fractals | 2015-01-08 | Paper |
Structure of the third moment of the generalized Rosenblatt distribution
Statistics & Probability Letters | 2014-11-03 | Paper |
Central and non-central limit theorems in a free probability setting
Journal of Theoretical Probability | 2014-09-26 | Paper |
Central and non-central limit theorems in a free probability setting
Journal of Theoretical Probability | 2014-09-26 | Paper |
Asymptotic behavior of the quadratic variation of the sum of two Hermite processes of consecutive orders
Stochastic Processes and their Applications | 2014-08-28 | Paper |
| On the codifference of linear fractional stable motion | 2014-06-24 | Paper |
Robust estimation of the scale and of the autocovariance function of Gaussian short- and long-range dependent processes
Journal of Time Series Analysis | 2014-06-16 | Paper |
Robust estimation of the scale and of the autocovariance function of Gaussian short- and long-range dependent processes
Journal of Time Series Analysis | 2014-06-16 | Paper |
The asymptotic codifference and covariation of log-fractional stable noise
Journal of Econometrics | 2014-06-04 | Paper |
| scientific article; zbMATH DE number 6288695 (Why is no real title available?) | 2014-04-25 | Paper |
MULTIVARIATE LIMIT THEOREMS IN THE CONTEXT OF LONG‐RANGE DEPENDENCE
Journal of Time Series Analysis | 2014-04-08 | Paper |
Hermite ranks and \(U\)-statistics
Metrika | 2014-03-24 | Paper |
Large sample behaviour of some well-known robust estimators under long-range dependence
Statistics | 2014-03-14 | Paper |
Multivariate limits of multilinear polynomial-form processes with long memory
Statistics & Probability Letters | 2014-03-05 | Paper |
Generalized Hermite processes, discrete chaos and limit theorems
Stochastic Processes and their Applications | 2014-02-26 | Paper |
High order chaotic limits of wavelet scalograms under long-range dependence
ALEA. Latin American Journal of Probability and Mathematical Statistics | 2014-01-23 | Paper |
Maximum penalized quasi-likelihood estimation of the diffusion function
Quantitative Finance | 2013-12-13 | Paper |
Maximum penalized quasi-likelihood estimation of the diffusion function
Quantitative Finance | 2013-12-13 | Paper |
Properties and numerical evaluation of the Rosenblatt distribution
Bernoulli | 2013-08-16 | Paper |
Properties and numerical evaluation of the Rosenblatt distribution
Bernoulli | 2013-08-16 | Paper |
Non-parametric change-point tests for long-range dependent data
Scandinavian Journal of Statistics | 2013-03-20 | Paper |
Non-parametric change-point tests for long-range dependent data
Scandinavian Journal of Statistics | 2013-03-20 | Paper |
Distribution functions of Poisson random integrals: analysis and computation
Methodology and Computing in Applied Probability | 2012-11-05 | Paper |
Large scale behavior of wavelet coefficients of non-linear subordinated processes with long memory
Applied and Computational Harmonic Analysis | 2012-05-04 | Paper |
Berry-Esseen and Edgeworth approximations for the normalized tail of an infinite sum of independent weighted gamma random variables
Stochastic Processes and their Applications | 2012-03-22 | Paper |
Semi-additive functionals and cocycles in the context of self-similarity
Discussiones Mathematicae Probability and Statistics | 2011-12-01 | Paper |
Semi-additive functionals and cocycles in the context of self-similarity
Discussiones Mathematicae Probability and Statistics | 2011-12-01 | Paper |
Asymptotic properties of U-processes under long-range dependence
The Annals of Statistics | 2011-09-14 | Paper |
Fractional elliptic, hyperbolic and parabolic random fields
Electronic Journal of Probability | 2011-09-09 | Paper |
A technique for computing the PDFs and CDFs of nonnegative infinitely divisible random variables
Journal of Applied Probability | 2011-04-05 | Paper |
Asymptotic normality of wavelet estimators of the memory parameter for linear processes
Journal of Time Series Analysis | 2011-02-22 | Paper |
Regularization and integral representations of Hermite processes
Statistics & Probability Letters | 2010-12-20 | Paper |
Numerical computation of first-passage times of increasing Lévy processes
Methodology and Computing in Applied Probability | 2010-11-22 | Paper |
Almost sure central limit theorems on the Wiener space
Stochastic Processes and their Applications | 2010-08-18 | Paper |
Almost sure central limit theorems on the Wiener space
Stochastic Processes and their Applications | 2010-08-18 | Paper |
Wiener chaos: Moments, cumulants and diagrams. A survey with computer implementation
Bocconi & Springer Series | 2010-05-17 | Paper |
Stein's method and normal approximation of Poisson functionals
The Annals of Probability | 2010-04-21 | Paper |
Using differential equations to obtain joint moments of first-passage times of increasing Lévy processes
Statistics & Probability Letters | 2010-04-01 | Paper |
Multivariate partial differential equation describing the evolution of a Gaussian process
Stochastics and Dynamics | 2010-02-10 | Paper |
Applying bucket random permutations to stationary sequences with long-range dependence
Fractals | 2009-12-04 | Paper |
Identification of periodic and cyclic fractional stable motions
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2009-10-08 | Paper |
Identification of periodic and cyclic fractional stable motions
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2009-10-08 | Paper |
Central limit theorems for arrays of decimated linear processes
Stochastic Processes and their Applications | 2009-09-17 | Paper |
Testing diffusion processes for non-stationarity
Mathematical Methods of Operations Research | 2009-07-06 | Paper |
Visualization and inference based on wavelet coefficients, SiZer and SiNos
Computational Statistics and Data Analysis | 2009-06-02 | Paper |
Fractional Ornstein-Uhlenbeck Lévy processes and the telecom process: Upstairs and downstairs
Signal Processing | 2009-05-18 | Paper |
| Limit theorems for multiple stochastic integrals | 2009-04-27 | Paper |
| A multiple stochastic integral criterion for almost sure limit theorems | 2009-04-14 | Paper |
Central limit theorems for double Poisson integrals
Bernoulli | 2009-03-02 | Paper |
| The dependence structure of log-fractional stable noise with analogy to fractional Gaussian noise | 2009-02-09 | Paper |
LASS: a tool for the local analysis of self-similarity
Computational Statistics and Data Analysis | 2008-12-11 | Paper |
Self-similarity in high-speed packet traffic: analysis and modeling of Ethernet traffic measurements
Statistical Science | 2008-11-25 | Paper |
Wick–Itô formula for regular processes and applications to the Black and Scholes formula
Stochastics | 2008-11-25 | Paper |
| Moments, cumulants and diagram formulae for non-linear functionals of random measures | 2008-11-11 | Paper |
| scientific article; zbMATH DE number 5363773 (Why is no real title available?) | 2008-11-10 | Paper |
A wavelet Whittle estimator of the memory parameter of a nonstationary Gaussian time series
The Annals of Statistics | 2008-08-28 | Paper |
Stable convergence of multiple Wiener--Itô integrals
Journal of Theoretical Probability | 2008-08-21 | Paper |
CENTRAL LIMIT THEOREM FOR THE LOG-REGRESSION WAVELET ESTIMATION OF THE MEMORY PARAMETER IN THE GAUSSIAN SEMI-PARAMETRIC CONTEXT
Fractals | 2008-07-02 | Paper |
Small and large scale asymptotics of some Lévy stochastic integrals
Methodology and Computing in Applied Probability | 2008-06-25 | Paper |
On the Spectral Density of the Wavelet Coefficients of Long-Memory Time Series with Application to the Log-Regression Estimation of the Memory Parameter
Journal of Time Series Analysis | 2008-06-18 | Paper |
On the Spectral Density of the Wavelet Coefficients of Long-Memory Time Series with Application to the Log-Regression Estimation of the Memory Parameter
Journal of Time Series Analysis | 2008-06-18 | Paper |
| Confidence intervals for the long memory parameter based on wavelets and resampling | 2008-05-23 | Paper |
Bounds for the covariance of functions of infinite variance stable random variables with applications to central limit theorems and wavelet-based estimation
Bernoulli | 2008-02-06 | Paper |
Bounds for the covariance of functions of infinite variance stable random variables with applications to central limit theorems and wavelet-based estimation
Bernoulli | 2008-02-06 | Paper |
Extremal stochastic integrals: a parallel between max-stable processes and \(\alpha\)-stable processes
Extremes | 2007-12-16 | Paper |
| Non-Markovian diffusion equations and processes: analysis and simulations | 2007-12-03 | Paper |
Integral representations of periodic and cyclic fractional stable motions
Electronic Journal of Probability | 2007-11-23 | Paper |
Integral representations of periodic and cyclic fractional stable motions
Electronic Journal of Probability | 2007-11-23 | Paper |
Stable convergence of generalized \(L^{2}\) stochastic integrals and the principle of conditioning
Electronic Journal of Probability | 2007-11-23 | Paper |
Self-Similarity and Lamperti Transformation for Random Fields
Stochastic Models | 2007-10-24 | Paper |
Limit theorems for sums of heavy-tailed variables with random dependent weights
Methodology and Computing in Applied Probability | 2007-08-17 | Paper |
Wavelet construction of generalized multifractional processes
Revista Matemática Iberoamericana | 2007-08-07 | Paper |
On a Szegö type limit theorem and the asymptotic theory of random sums, integrals and quadratic forms
Lecture Notes in Statistics | 2007-01-09 | Paper |
Impact of the Sampling Rate on the Estimation of the Parameters of Fractional Brownian Motion
Journal of Time Series Analysis | 2006-12-08 | Paper |
Wick-Itô Formula for Gaussian Processes
Stochastic Analysis and Applications | 2006-07-13 | Paper |
Asymptotic self‐similarity and wavelet estimation for long‐range dependent fractional autoregressive integrated moving average time series with stable innovations
Journal of Time Series Analysis | 2006-05-24 | Paper |
Deconvolution of fractional brownian motion
Journal of Time Series Analysis | 2006-05-24 | Paper |
How rich is the class of multifractional Brownian motions?
Stochastic Processes and their Applications | 2006-04-28 | Paper |
| Stable convergence of generalized stochastic integrals and the principle of conditioning: L^2 theory | 2006-04-25 | Paper |
SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM
Fractals | 2006-01-18 | Paper |
Multifractional processes with random exponent
Publicacions Matemàtiques | 2005-11-28 | Paper |
Stochastic properties of the linear multifractional stable motion
Advances in Applied Probability | 2005-04-05 | Paper |
AN EXTREME VALUE THEORY APPROACH TO THE ALLOCATION OF MULTIPLE ASSETS
International Journal of Theoretical and Applied Finance | 2005-03-18 | Paper |
ON THE AUTOMATIC SELECTION OF THE ONSET OF SCALING
Fractals | 2005-03-14 | Paper |
Small and large scale behavior of the Poissonized telecom process
Methodology and Computing in Applied Probability | 2005-02-11 | Paper |
Convergence of weighted sums of random variables with long-range dependence.
Stochastic Processes and their Applications | 2004-09-22 | Paper |
Rate optimality of wavelet series approximations of fractional Brownian motion
The Journal of Fourier Analysis and Applications | 2004-09-22 | Paper |
Stable stationary processes related to cyclic flows.
The Annals of Probability | 2004-09-15 | Paper |
DEPENDENCE STRUCTURE OF A RENEWAL-REWARD PROCESS WITH INFINITE VARIANCE
Fractals | 2004-09-02 | Paper |
Dilated fractional stable motions
Journal of Theoretical Probability | 2004-08-06 | Paper |
Central limit theorems for partial sums of bounded functionals of infinite-variance moving averages
Bernoulli | 2004-06-10 | Paper |
Slow, fast and arbitrary growth conditions for renewal-reward processes when both the renewals and the rewards are heavy-tailed
Bernoulli | 2004-06-10 | Paper |
| scientific article; zbMATH DE number 1944329 (Why is no real title available?) | 2004-03-08 | Paper |
| scientific article; zbMATH DE number 1944311 (Why is no real title available?) | 2004-02-20 | Paper |
Can continuous-time stationary stable processes have discrete linear representations?
Statistics & Probability Letters | 2004-02-14 | Paper |
| scientific article; zbMATH DE number 1944327 (Why is no real title available?) | 2004-01-21 | Paper |
| scientific article; zbMATH DE number 1944328 (Why is no real title available?) | 2003-11-09 | Paper |
The Modelling of Ethernet Data and of Signals that are Heavy‐tailed with Infinite Variance<sup>*</sup>
Scandinavian Journal of Statistics | 2003-08-07 | Paper |
| scientific article; zbMATH DE number 1944320 (Why is no real title available?) | 2003-07-01 | Paper |
The structure of self-similar stable mixed moving averages
The Annals of Probability | 2003-05-06 | Paper |
Estimation of the self-similarity parameter in linear fractional stable motion.
Signal Processing | 2003-01-21 | Paper |
| scientific article; zbMATH DE number 1944303 (Why is no real title available?) | 2003-01-01 | Paper |
Decomposition of self-similar stable mixed moving averages
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2002-12-01 | Paper |
Are classes of deterministic integrands for fractional Brownian motion on an interval complete?
Bernoulli | 2002-11-17 | Paper |
Functional non-central and central limit theorems for bivariate Appell polynomials
Journal of Theoretical Probability | 2002-05-23 | Paper |
Discrete time parametric models with long memory and infinite variance
Mathematical and Computer Modelling | 2002-05-05 | Paper |
Convergence of the Weierstrass-Mandelbrot process to fractional Brownian motion
Fractals | 2001-12-10 | Paper |
Integration questions related to fractional Brownian motion
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2001-10-16 | Paper |
Robustness of the \(R/S\) statistic for fractional stable noises
Statistical Inference for Stochastic Processes | 2001-09-17 | Paper |
Can one use the Durbin-Levinson algorithm to generate infinite variance fractional ARIMA time series?
Journal of Time Series Analysis | 2001-09-16 | Paper |
Bachelier and his times: a conversation with Bernard Bru
Finance and Stochastics | 2001-09-16 | Paper |
The limit of a renewal reward process with heavy-tailed rewards is not a linear fractional stable motion
Bernoulli | 2001-06-13 | Paper |
Renewal reward processes with heavy-tailed inter-renewal times and heavy-tailed rewards
Bernoulli | 2001-02-11 | Paper |
| scientific article; zbMATH DE number 1424078 (Why is no real title available?) | 2000-12-11 | Paper |
Wavelets, generalized white noise and fractional integration: The synthesis of fractional Brownian motion
The Journal of Fourier Analysis and Applications | 2000-11-07 | Paper |
| scientific article; zbMATH DE number 1301871 (Why is no real title available?) | 2000-10-12 | Paper |
Central limit theorems for quadratic forms with time-domain conditions
The Annals of Probability | 2000-09-04 | Paper |
Meaningful MRA initialization for discrete time series.
Signal Processing | 2000-08-21 | Paper |
Estimating the heavy tail index from scaling properties
Methodology and Computing in Applied Probability | 1999-11-23 | Paper |
Convergence of normalized quadratic forms
Journal of Statistical Planning and Inference | 1999-11-23 | Paper |
Whittle estimator for finite-variance non-Gaussian time series with long memory
The Annals of Statistics | 1999-11-09 | Paper |
| scientific article; zbMATH DE number 1301878 (Why is no real title available?) | 1999-10-17 | Paper |
Stock market prices and long-range dependence
Finance and Stochastics | 1999-09-14 | Paper |
| scientific article; zbMATH DE number 1301872 (Why is no real title available?) | 1999-06-16 | Paper |
| scientific article; zbMATH DE number 1223591 (Why is no real title available?) | 1999-06-01 | Paper |
Option Pricing in ARCH-type Models
Mathematical Finance | 1999-05-05 | Paper |
Is Network Traffic Self-Similar or Multifractal?
Fractals | 1999-03-09 | Paper |
A critical look at Lo's modified \(R/S\) statistic.
Journal of Statistical Planning and Inference | 1999-01-01 | Paper |
Testing for long‐range dependence in the presence of shifting means or a slowly declining trend, using a variance‐type estimator
Journal of Time Series Analysis | 1998-12-02 | Paper |
Parameter estimation for infinite variance fractional ARIMA
The Annals of Statistics | 1998-10-06 | Paper |
Limit theorems for bivariate Appell polynomials. II: Non-central limit theorems
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1998-04-20 | Paper |
The asymptotic behavior of quadratic forms in heavy-tailed strongly dependent random variables
Stochastic Processes and their Applications | 1998-03-29 | Paper |
Toward A Convergence Theory For Continuous Stochastic Securities Market Models<sup>1</sup>
Mathematical Finance | 1997-08-31 | Paper |
ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
Fractals | 1997-06-26 | Paper |
Limit theorems for bivariate Appell polynomials. I: Central limit theorems
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1997-05-28 | Paper |
Infinite variance stable moving averages with long memory
Journal of Econometrics | 1997-03-02 | Paper |
| scientific article; zbMATH DE number 932439 (Why is no real title available?) | 1997-01-27 | Paper |
Robustness of whittle-type estimators for time series with long-range dependence
Communications in Statistics. Stochastic Models | 1997-01-01 | Paper |
A characterization of mixing processes of type G
Journal of Theoretical Probability | 1996-12-16 | Paper |
Fractional ARIMA with stable innovations
Stochastic Processes and their Applications | 1996-10-03 | Paper |
Lévy measures of infinitely divisible random vectors and Slepian inequalities
The Annals of Probability | 1996-08-13 | Paper |
Stable fractal sums of pulses: The cylindrical case
Bernoulli | 1996-01-15 | Paper |
| scientific article; zbMATH DE number 788251 (Why is no real title available?) | 1995-11-22 | Paper |
Necessary conditions for the existence of conditional moments of stable random variables
Stochastic Processes and their Applications | 1995-05-23 | Paper |
How do conditional moments of stable vectors depend on the spectral measure?
Stochastic Processes and their Applications | 1995-05-14 | Paper |
Does asymptotic linearity of the regression extend to stable domains of attraction?
Journal of Multivariate Analysis | 1995-03-01 | Paper |
New classes of self-similar symmetric stable random fields
Journal of Theoretical Probability | 1995-02-14 | Paper |
INFINITE VARIANCE STABLE ARMA PROCESSES
Journal of Time Series Analysis | 1995-01-19 | Paper |
| scientific article; zbMATH DE number 614990 (Why is no real title available?) | 1994-08-07 | Paper |
The asymptotic dependence structure of the linear fractional Lévy motion
Lithuanian Mathematical Journal | 1994-03-27 | Paper |
| scientific article; zbMATH DE number 434656 (Why is no real title available?) | 1994-01-02 | Paper |
Zero-one laws for multilinear forms in Gaussian and other infinitely divisible random variables
Journal of Multivariate Analysis | 1993-12-05 | Paper |
Asymptotic dependence of moving average type self-similar stable random Fields
Nagoya Mathematical Journal | 1993-08-10 | Paper |
| scientific article; zbMATH DE number 218720 (Why is no real title available?) | 1993-06-29 | Paper |
Stochastic monotonicity and Slepian-type inequalities for infinitely divisible and stable random vectors
The Annals of Probability | 1993-06-29 | Paper |
Continuous functions whose level sets are orthogonal to all polynomials of a given degree
Acta Mathematica Hungarica | 1993-04-01 | Paper |
Weak convergence of sums of moving averages in the \(\alpha\)-stable domain of attraction
The Annals of Probability | 1992-06-28 | Paper |
Nonlinear regression of stable random variables
The Annals of Applied Probability | 1992-06-28 | Paper |
Conditional moments and linear regression for stable random variables
Stochastic Processes and their Applications | 1992-06-27 | Paper |
Probability laws with 1-stable marginals are 1-stable
The Annals of Probability | 1992-06-27 | Paper |
| scientific article; zbMATH DE number 19379 (Why is no real title available?) | 1992-06-26 | Paper |
| scientific article; zbMATH DE number 16136 (Why is no real title available?) | 1992-06-26 | Paper |
| scientific article; zbMATH DE number 16137 (Why is no real title available?) | 1992-06-26 | Paper |
Sample path properties of stochastic processes represented as multiple stable integrals
Journal of Multivariate Analysis | 1992-06-25 | Paper |
Convergence in distribution of sums of bivariate Appell polynomials with long-range dependence
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1992-06-25 | Paper |
Bivariate symmetric statistics of long-range dependent observations
Journal of Statistical Planning and Inference | 1992-06-25 | Paper |
Hölder’s Inequality for Functions of Linearly Dependent Arguments
SIAM Journal on Mathematical Analysis | 1992-06-25 | Paper |
| scientific article; zbMATH DE number 4197028 (Why is no real title available?) | 1991-01-01 | Paper |
| scientific article; zbMATH DE number 4205510 (Why is no real title available?) | 1991-01-01 | Paper |
Convergence to a Gaussian limit as the normalization exponent tends to 1/2
Statistics & Probability Letters | 1991-01-01 | Paper |
\((1/\alpha)\)-self similar \(\alpha\)-stable processes with stationary increments
Journal of Multivariate Analysis | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4205495 (Why is no real title available?) | 1990-01-01 | Paper |
Existence of joint moments of stable random variables
Statistics & Probability Letters | 1990-01-01 | Paper |
A noncentral limit theorem for quadratic forms of Gaussian stationary sequences
Journal of Theoretical Probability | 1990-01-01 | Paper |
Multiple stable integrals of Banach-valued functions
Journal of Theoretical Probability | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4133237 (Why is no real title available?) | 1989-01-01 | Paper |
The empirical process of some long-range dependent sequences with an application to U-statistics
The Annals of Statistics | 1989-01-01 | Paper |
Probability bounds for M-Skorohod oscillations
Stochastic Processes and their Applications | 1989-01-01 | Paper |
Pathwise stochastic integration and applications to the theory of continuous trading
Stochastic Processes and their Applications | 1989-01-01 | Paper |
The functional law of the iterated logarithm for the empirical process of some long-range dependent sequences
Statistics & Probability Letters | 1988-01-01 | Paper |
| scientific article; zbMATH DE number 4052846 (Why is no real title available?) | 1988-01-01 | Paper |
| scientific article; zbMATH DE number 4052846 (Why is no real title available?) | 1988-01-01 | Paper |
| scientific article; zbMATH DE number 4052846 (Why is no real title available?) | 1988-01-01 | Paper |
| scientific article; zbMATH DE number 4054761 (Why is no real title available?) | 1987-01-01 | Paper |
| scientific article; zbMATH DE number 4109900 (Why is no real title available?) | 1987-01-01 | Paper |
Central limit theorems for quadratic forms in random variables having long-range dependence
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1987-01-01 | Paper |
Multiple stochastic integrals with dependent integrators
Journal of Multivariate Analysis | 1987-01-01 | Paper |
Decoupling of Banach-valued multilinear forms in independent symmetric Banach-valued random variables
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1987-01-01 | Paper |
Noncentral limit theorems and Appell polynomials
The Annals of Probability | 1987-01-01 | Paper |
The analysis of finite security markets using martingales
Advances in Applied Probability | 1987-01-01 | Paper |
| scientific article; zbMATH DE number 3960686 (Why is no real title available?) | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 3969824 (Why is no real title available?) | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 3971879 (Why is no real title available?) | 1986-01-01 | Paper |
Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
The Annals of Statistics | 1986-01-01 | Paper |
Sojourn in an elliptical domain
Stochastic Processes and their Applications | 1986-01-01 | Paper |
Dyadic approximation of double integrals with respect to symmetric stable processes
Stochastic Processes and their Applications | 1986-01-01 | Paper |
Symmetric polynomials of random variables attracted to an infinitely divisible law
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1986-01-01 | Paper |
Decoupling inequalities for multilinear forms in independent symmetric random variables
The Annals of Probability | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 3996757 (Why is no real title available?) | 1985-01-01 | Paper |
| scientific article; zbMATH DE number 3895994 (Why is no real title available?) | 1985-01-01 | Paper |
Noncentral limit theorems for quadratic forms in random variables having long-range dependence
The Annals of Probability | 1985-01-01 | Paper |
A survey of functional laws of the iterated logarithm for self-similar processes
Communications in Statistics. Stochastic Models | 1985-01-01 | Paper |
Invariance principle for symmetric statistics
The Annals of Statistics | 1984-01-01 | Paper |
Infinite variance self-similar processes subordinate to a poisson measure
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1983-01-01 | Paper |
Regular multigraphs and their application to the Monte Carlo evaluation of moments of non-linear functions of Gaussian random variables
Stochastic Processes and their Applications | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3785933 (Why is no real title available?) | 1981-01-01 | Paper |
| scientific article; zbMATH DE number 3820911 (Why is no real title available?) | 1979-01-01 | Paper |
Convergence of integrated processes of arbitrary Hermite rank
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1979-01-01 | Paper |
A representation for self-similar processes
Stochastic Processes and their Applications | 1978-01-01 | Paper |
Law of the iterated logarithm for sums of non-linear functions of Gaussian variables that exhibit a long range dependence
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1977-01-01 | Paper |
Weak convergence to fractional brownian motion and to the rosenblatt process
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1975-01-01 | Paper |
