Murad S. Taqqu

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Person:180836

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zbMath Open taqqu.murad-sWikidataQ6937210 ScholiaQ6937210MaRDI QIDQ180836

List of research outcomes

PublicationDate of PublicationType
https://portal.mardi4nfdi.de/entity/Q60988072023-06-16Paper
https://portal.mardi4nfdi.de/entity/Q61567842023-06-16Paper
INTERMITTENCY AND MULTISCALING IN LIMIT THEOREMS2022-11-09Paper
Path properties of a generalized fractional Brownian motion2022-03-17Paper
Limit theorems for Toeplitz-type quadratic functionals of stationary processes and applications2022-02-01Paper
Extensions of Rosenblatt's results on the asymptotic behavior of the prediction error for deterministic stationary sequences2021-11-25Paper
Intermittency and infinite variance: the case of integrated supou processes2021-07-21Paper
The multifaceted behavior of integrated supOU processes: the infinite variance case2020-10-30Paper
Limit theorems for long-memory flows on Wiener chaos2020-02-12Paper
Limit theorems, scaling of moments and intermittency for integrated finite variance supOU processes2019-12-17Paper
Estimation pitfalls when the noise is not i.i.d.2019-10-18Paper
Four moments theorems on Markov chaos2019-06-18Paper
The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes2019-06-14Paper
Sensitivity of the Hermite rank2019-03-06Paper
How the instability of ranks under long memory affects large-sample inference2019-03-01Paper
Asset allocation when guarding against catastrophic losses: a comparison between the structure variable and joint probability methods2019-01-15Paper
Estimation of the covariance function of Gaussian isotropic random fields on spheres, related Rosenblatt-type distributions and the cosmic variance problem2018-09-26Paper
M-periodogram for the analysis of long-range-dependent time series2018-06-20Paper
Intermittency of trawl processes2018-06-14Paper
Robust Regression on Stationary Time Series: A Self‐Normalized Resampling Approach2018-05-16Paper
On the validity of resampling methods under long memory2018-02-14Paper
Asymptotic normality of quadratic forms of martingale differences2017-12-22Paper
Behavior of the generalized Rosenblatt process at extreme critical exponent values2017-10-24Paper
An \(M\)-estimator for the long-memory parameter2017-09-28Paper
Non-central limit theorems for random fields subordinated to gamma-correlated random fields2017-09-21Paper
Stable Non-Gaussian Self-Similar Processes with Stationary Increments2017-08-02Paper
Estimating Heavy-Tail Exponents Through Max Self–Similarity2017-07-27Paper
Long-Range Dependence and Self-Similarity2017-07-12Paper
Power of change-point tests for long-range dependent data2017-06-08Paper
Rosenblatt distribution subordinated to Gaussian random fields with long-range dependence2017-03-10Paper
The impact of the diagonals of polynomial forms on limit theorems with long memory2017-01-11Paper
The universality of homogeneous polynomial forms and critical limits2017-01-10Paper
Estimators of long-memory: Fourier versus wavelets2016-07-18Paper
Short-range dependent processes subordinated to the Gaussian may not be strong mixing2016-04-22Paper
Benoît Mandelbrot and fractional Brownian motion2016-03-08Paper
https://portal.mardi4nfdi.de/entity/Q27874692016-03-04Paper
Limit theorems for quadratic forms of Lévy-driven continuous-time linear processes2016-03-03Paper
Long-range dependence of the two-dimensional Ising model at critical temperature2016-01-14Paper
Long-Range Dependence and the Rank of Decompositions2015-10-05Paper
Functional limit theorems for Toeplitz quadratic functionals of continuous time Gaussian stationary processes2015-08-19Paper
Scaling properties of the empirical structure function of linear fractional stable motion and estimation of its parameters2015-07-24Paper
Weak convergence of the empirical process of intermittent maps in 𝕃2 under long-range dependence2015-05-22Paper
Convergence of long-memory discrete \(k\)th order Volterra processes2015-03-24Paper
Large scale reduction principle and application to hypothesis testing2015-03-04Paper
Wavelet estimation of the long memory parameter for Hermite polynomial of Gaussian processes2015-02-17Paper
PATH PROPERTIES OF THE LINEAR MULTIFRACTIONAL STABLE MOTION2015-01-30Paper
The trace problem for Toeplitz matrices and operators and its impact in probability2015-01-14Paper
HOW COMPLETE RANDOM PERMUTATIONS AFFECT THE DEPENDENCE STRUCTURE OF STATIONARY SEQUENCES WITH LONG-RANGE DEPENDENCE2015-01-08Paper
Structure of the third moment of the generalized Rosenblatt distribution2014-11-03Paper
Central and non-central limit theorems in a free probability setting2014-09-26Paper
Asymptotic behavior of the quadratic variation of the sum of two Hermite processes of consecutive orders2014-08-28Paper
https://portal.mardi4nfdi.de/entity/Q49816832014-06-24Paper
Robust estimation of the scale and of the autocovariance function of Gaussian short- and long-range dependent processes2014-06-16Paper
The asymptotic codifference and covariation of log-fractional stable noise2014-06-04Paper
https://portal.mardi4nfdi.de/entity/Q54121292014-04-25Paper
MULTIVARIATE LIMIT THEOREMS IN THE CONTEXT OF LONG‐RANGE DEPENDENCE2014-04-08Paper
Hermite ranks and \(U\)-statistics2014-03-24Paper
Large sample behaviour of some well-known robust estimators under long-range dependence2014-03-14Paper
Multivariate limits of multilinear polynomial-form processes with long memory2014-03-05Paper
Generalized Hermite processes, discrete chaos and limit theorems2014-02-26Paper
High order chaotic limits of wavelet scalograms under long--range dependence2014-01-23Paper
Maximum penalized quasi-likelihood estimation of the diffusion function2013-12-13Paper
Properties and numerical evaluation of the Rosenblatt distribution2013-08-16Paper
Non‐Parametric Change‐Point Tests for Long‐Range Dependent Data2013-03-20Paper
Distribution functions of Poisson random integrals: analysis and computation2012-11-05Paper
Large scale behavior of wavelet coefficients of non-linear subordinated processes with long memory2012-05-04Paper
Berry-Esseen and Edgeworth approximations for the normalized tail of an infinite sum of independent weighted gamma random variables2012-03-22Paper
Semi-additive functionals and cocycles in the context of self-similarity2011-12-01Paper
Asymptotic properties of \(U\)-processes under long-range dependence2011-09-14Paper
Fractional elliptic, hyperbolic and parabolic random fields2011-09-09Paper
A Technique for Computing the PDFs and CDFs of Nonnegative Infinitely Divisible Random Variables2011-04-05Paper
Asymptotic normality of wavelet estimators of the memory parameter for linear processes2011-02-22Paper
Regularization and integral representations of Hermite processes2010-12-20Paper
Numerical computation of first-passage times of increasing Lévy processes2010-11-22Paper
Almost sure central limit theorems on the Wiener space2010-08-18Paper
Wiener chaos: Moments, cumulants and diagrams. A survey with computer implementation2010-05-17Paper
Stein's method and normal approximation of Poisson functionals2010-04-21Paper
Using differential equations to obtain joint moments of first-passage times of increasing Lévy processes2010-04-01Paper
MULTIVARIATE PARTIAL DIFFERENTIAL EQUATION DESCRIBING THE EVOLUTION OF A GAUSSIAN PROCESS2010-02-10Paper
APPLYING BUCKET RANDOM PERMUTATIONS TO STATIONARY SEQUENCES WITH LONG-RANGE DEPENDENCE2009-12-04Paper
Identification of periodic and cyclic fractional stable motions2009-10-08Paper
Central limit theorems for arrays of decimated linear processes2009-09-17Paper
Testing diffusion processes for non-stationarity2009-07-06Paper
Visualization and inference based on wavelet coefficients, SiZer and SiNos2009-06-02Paper
Fractional Ornstein-Uhlenbeck Lévy processes and the telecom process: Upstairs and downstairs2009-05-18Paper
https://portal.mardi4nfdi.de/entity/Q36238902009-04-27Paper
Central limit theorems for double Poisson integrals2009-03-02Paper
https://portal.mardi4nfdi.de/entity/Q35971392009-02-09Paper
LASS: a tool for the local analysis of self-similarity2008-12-11Paper
Wick–Itô formula for regular processes and applications to the Black and Scholes formula2008-11-25Paper
Self-similarity in high-speed packet traffic: analysis and modeling of Ethernet traffic measurements2008-11-25Paper
https://portal.mardi4nfdi.de/entity/Q35377392008-11-10Paper
A wavelet Whittle estimator of the memory parameter of a nonstationary Gaussian time series2008-08-28Paper
Stable convergence of multiple Wiener--Itô integrals2008-08-21Paper
CENTRAL LIMIT THEOREM FOR THE LOG-REGRESSION WAVELET ESTIMATION OF THE MEMORY PARAMETER IN THE GAUSSIAN SEMI-PARAMETRIC CONTEXT2008-07-02Paper
Small and large scale asymptotics of some Lévy stochastic integrals2008-06-25Paper
On the Spectral Density of the Wavelet Coefficients of Long-Memory Time Series with Application to the Log-Regression Estimation of the Memory Parameter2008-06-18Paper
https://portal.mardi4nfdi.de/entity/Q35024692008-05-23Paper
Bounds for the covariance of functions of infinite variance stable random variables with applications to central limit theorems and wavelet-based estimation2008-02-06Paper
Extremal stochastic integrals: a parallel between max-stable processes and \(\alpha\)-stable processes2007-12-16Paper
Integral representations of periodic and cyclic fractional stable motions2007-11-23Paper
Stable convergence of generalized \(L^{2}\) stochastic integrals and the principle of conditioning2007-11-23Paper
Self-Similarity and Lamperti Transformation for Random Fields2007-10-24Paper
Limit theorems for sums of heavy-tailed variables with random dependent weights2007-08-17Paper
Wavelet construction of generalized multifractional processes2007-08-07Paper
On a Szegö type limit theorem and the asymptotic theory of random sums, integrals and quadratic forms2007-01-09Paper
Impact of the Sampling Rate on the Estimation of the Parameters of Fractional Brownian Motion2006-12-08Paper
Wick-Itô Formula for Gaussian Processes2006-07-13Paper
Asymptotic self‐similarity and wavelet estimation for long‐range dependent fractional autoregressive integrated moving average time series with stable innovations2006-05-24Paper
Deconvolution of fractional brownian motion2006-05-24Paper
How rich is the class of multifractional Brownian motions?2006-04-28Paper
SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM2006-01-18Paper
Multifractional processes with random exponent2005-11-28Paper
Stochastic properties of the linear multifractional stable motion2005-04-05Paper
AN EXTREME VALUE THEORY APPROACH TO THE ALLOCATION OF MULTIPLE ASSETS2005-03-18Paper
ON THE AUTOMATIC SELECTION OF THE ONSET OF SCALING2005-03-14Paper
Small and large scale behavior of the Poissonized telecom process2005-02-11Paper
Rate optimality of wavelet series approximations of fractional Brownian motion2004-09-22Paper
Convergence of weighted sums of random variables with long-range dependence.2004-09-22Paper
Stable stationary processes related to cyclic flows.2004-09-15Paper
DEPENDENCE STRUCTURE OF A RENEWAL-REWARD PROCESS WITH INFINITE VARIANCE2004-09-02Paper
Dilated fractional stable motions2004-08-06Paper
Central limit theorems for partial sums of bounded functionals of infinite-variance moving averages2004-06-10Paper
Slow, fast and arbitrary growth conditions for renewal-reward processes when both the renewals and the rewards are heavy-tailed2004-06-10Paper
https://portal.mardi4nfdi.de/entity/Q44076242004-03-08Paper
https://portal.mardi4nfdi.de/entity/Q44076042004-02-20Paper
Can continuous-time stationary stable processes have discrete linear representations?2004-02-14Paper
https://portal.mardi4nfdi.de/entity/Q44076222004-01-21Paper
https://portal.mardi4nfdi.de/entity/Q44076232003-11-09Paper
The Modelling of Ethernet Data and of Signals that are Heavy‐tailed with Infinite Variance*2003-08-07Paper
https://portal.mardi4nfdi.de/entity/Q44076142003-07-01Paper
The structure of self-similar stable mixed moving averages2003-05-06Paper
Estimation of the self-similarity parameter in linear fractional stable motion.2003-01-21Paper
https://portal.mardi4nfdi.de/entity/Q44075962003-01-01Paper
Decomposition of self-similar stable mixed moving averages2002-12-01Paper
Are classes of deterministic integrands for fractional Brownian motion on an interval complete?2002-11-17Paper
Functional non-central and central limit theorems for bivariate Appell polynomials2002-05-23Paper
Discrete time parametric models with long memory and infinite variance2002-05-05Paper
CONVERGENCE OF THE WEIERSTRASS-MANDELBROT PROCESS TO FRACTIONAL BROWNIAN MOTION2001-12-10Paper
Integration questions related to fractional Brownian motion2001-10-16Paper
Robustness of the \(R/S\) statistic for fractional stable noises2001-09-17Paper
Can One Use the Durbin–Levinson Algorithm to Generate Infinite Variance Fractional ARIMA Time Series?2001-09-16Paper
Bachelier and his times: a conversation with Bernard Bru2001-09-16Paper
The limit of a renewal reward process with heavy-tailed rewards is not a linear fractional stable motion2001-06-13Paper
Renewal reward processes with heavy-tailed inter-renewal times and heavy-tailed rewards2001-02-11Paper
https://portal.mardi4nfdi.de/entity/Q49452702000-12-11Paper
Wavelets, generalized white noise and fractional integration: The synthesis of fractional Brownian motion2000-11-07Paper
https://portal.mardi4nfdi.de/entity/Q42470962000-10-12Paper
Central limit theorems for quadratic forms with time-domain conditions2000-09-04Paper
Meaningful MRA initialization for discrete time series.2000-08-21Paper
Convergence of normalized quadratic forms1999-11-23Paper
Estimating the heavy tail index from scaling properties1999-11-23Paper
Whittle estimator for finite-variance non-Gaussian time series with long memory1999-11-09Paper
https://portal.mardi4nfdi.de/entity/Q42471041999-10-17Paper
Stock market prices and long-range dependence1999-09-14Paper
https://portal.mardi4nfdi.de/entity/Q42470971999-06-16Paper
https://portal.mardi4nfdi.de/entity/Q42189011999-06-01Paper
Option Pricing in ARCH-type Models1999-05-05Paper
Is Network Traffic Self-Similar or Multifractal?1999-03-09Paper
A critical look at Lo's modified \(R/S\) statistic.1999-01-01Paper
Testing for long‐range dependence in the presence of shifting means or a slowly declining trend, using a variance‐type estimator1998-12-02Paper
Parameter estimation for infinite variance fractional ARIMA1998-10-06Paper
Limit theorems for bivariate Appell polynomials. II: Non-central limit theorems1998-04-20Paper
The asymptotic behavior of quadratic forms in heavy-tailed strongly dependent random variables1998-03-29Paper
Toward A Convergence Theory For Continuous Stochastic Securities Market Models11997-08-31Paper
ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY1997-06-26Paper
Limit theorems for bivariate Appell polynomials. I: Central limit theorems1997-05-28Paper
Infinite variance stable moving averages with long memory1997-03-02Paper
https://portal.mardi4nfdi.de/entity/Q48948171997-01-27Paper
Robustness of whittle-type estimators for time series with long-range dependence1997-01-01Paper
A characterization of mixing processes of type G1996-12-16Paper
Fractional ARIMA with stable innovations1996-10-03Paper
Lévy measures of infinitely divisible random vectors and Slepian inequalities1996-08-13Paper
Stable fractal sums of pulses: The cylindrical case1996-01-15Paper
https://portal.mardi4nfdi.de/entity/Q48443621995-11-22Paper
Necessary conditions for the existence of conditional moments of stable random variables1995-05-23Paper
How do conditional moments of stable vectors depend on the spectral measure?1995-05-14Paper
Does asymptotic linearity of the regression extend to stable domains of attraction?1995-03-01Paper
New classes of self-similar symmetric stable random fields1995-02-14Paper
INFINITE VARIANCE STABLE ARMA PROCESSES1995-01-19Paper
https://portal.mardi4nfdi.de/entity/Q43015851994-08-07Paper
The asymptotic dependence structure of the linear fractional Lévy motion1994-03-27Paper
https://portal.mardi4nfdi.de/entity/Q31394891994-01-02Paper
Zero-one laws for multilinear forms in Gaussian and other infinitely divisible random variables1993-12-05Paper
Asymptotic dependence of moving average type self-similar stable random Fields1993-08-10Paper
Stochastic monotonicity and Slepian-type inequalities for infinitely divisible and stable random vectors1993-06-29Paper
https://portal.mardi4nfdi.de/entity/Q46943671993-06-29Paper
Continuous functions whose level sets are orthogonal to all polynomials of a given degree1993-04-01Paper
Nonlinear regression of stable random variables1992-06-28Paper
Weak convergence of sums of moving averages in the \(\alpha\)-stable domain of attraction1992-06-28Paper
Conditional moments and linear regression for stable random variables1992-06-27Paper
Probability laws with 1-stable marginals are 1-stable1992-06-27Paper
https://portal.mardi4nfdi.de/entity/Q39727841992-06-26Paper
https://portal.mardi4nfdi.de/entity/Q39727851992-06-26Paper
https://portal.mardi4nfdi.de/entity/Q39768181992-06-26Paper
Hölder’s Inequality for Functions of Linearly Dependent Arguments1992-06-25Paper
Sample path properties of stochastic processes represented as multiple stable integrals1992-06-25Paper
Convergence in distribution of sums of bivariate Appell polynomials with long-range dependence1992-06-25Paper
Bivariate symmetric statistics of long-range dependent observations1992-06-25Paper
https://portal.mardi4nfdi.de/entity/Q33538941991-01-01Paper
https://portal.mardi4nfdi.de/entity/Q52034191991-01-01Paper
Convergence to a Gaussian limit as the normalization exponent tends to 1/21991-01-01Paper
\((1/\alpha)\)-self similar \(\alpha\)-stable processes with stationary increments1990-01-01Paper
https://portal.mardi4nfdi.de/entity/Q33538811990-01-01Paper
A noncentral limit theorem for quadratic forms of Gaussian stationary sequences1990-01-01Paper
Multiple stable integrals of Banach-valued functions1990-01-01Paper
Existence of joint moments of stable random variables1990-01-01Paper
https://portal.mardi4nfdi.de/entity/Q30346161989-01-01Paper
Probability bounds for M-Skorohod oscillations1989-01-01Paper
The empirical process of some long-range dependent sequences with an application to U-statistics1989-01-01Paper
Pathwise stochastic integration and applications to the theory of continuous trading1989-01-01Paper
https://portal.mardi4nfdi.de/entity/Q37889341988-01-01Paper
The functional law of the iterated logarithm for the empirical process of some long-range dependent sequences1988-01-01Paper
https://portal.mardi4nfdi.de/entity/Q37904291987-01-01Paper
https://portal.mardi4nfdi.de/entity/Q38334661987-01-01Paper
The analysis of finite security markets using martingales1987-01-01Paper
Noncentral limit theorems and Appell polynomials1987-01-01Paper
Central limit theorems for quadratic forms in random variables having long-range dependence1987-01-01Paper
Decoupling of Banach-valued multilinear forms in independent symmetric Banach-valued random variables1987-01-01Paper
Multiple stochastic integrals with dependent integrators1987-01-01Paper
https://portal.mardi4nfdi.de/entity/Q37297651986-01-01Paper
https://portal.mardi4nfdi.de/entity/Q37366631986-01-01Paper
https://portal.mardi4nfdi.de/entity/Q37383261986-01-01Paper
Symmetric polynomials of random variables attracted to an infinitely divisible law1986-01-01Paper
Sojourn in an elliptical domain1986-01-01Paper
Decoupling inequalities for multilinear forms in independent symmetric random variables1986-01-01Paper
Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series1986-01-01Paper
Dyadic approximation of double integrals with respect to symmetric stable processes1986-01-01Paper
A survey of functional laws of the iterated logarithm for self-similar processes1985-01-01Paper
https://portal.mardi4nfdi.de/entity/Q36752421985-01-01Paper
https://portal.mardi4nfdi.de/entity/Q47229331985-01-01Paper
Noncentral limit theorems for quadratic forms in random variables having long-range dependence1985-01-01Paper
Invariance principle for symmetric statistics1984-01-01Paper
Infinite variance self-similar processes subordinate to a poisson measure1983-01-01Paper
Regular multigraphs and their application to the Monte Carlo evaluation of moments of non-linear functions of Gaussian random variables1982-01-01Paper
https://portal.mardi4nfdi.de/entity/Q39638351981-01-01Paper
https://portal.mardi4nfdi.de/entity/Q36677701979-01-01Paper
Convergence of integrated processes of arbitrary Hermite rank1979-01-01Paper
A representation for self-similar processes1978-01-01Paper
Law of the iterated logarithm for sums of non-linear functions of Gaussian variables that exhibit a long range dependence1977-01-01Paper
Weak convergence to fractional brownian motion and to the rosenblatt process1975-01-01Paper

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