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Cited in
(only showing first 100 items - show all)- Lévy areas, Wong-Zakai anomalies in diffusive limits of deterministic Lagrangian multitime dynamics
- Estimation of the Hurst parameter in some fractional processes
- Group sequential tests under fractional Brownian motion in monitoring clinical trials
- Burn-in selection in simulating stationary time series
- ɛ-Strong Simulation of Fractional Brownian Motion and Related Stochastic Differential Equations
- Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
- Type I and type II fractional Brownian motions: a reconsideration
- Operating characteristics for group sequential trials monitored under fractional Brownian motion
- Repeated confidence intervals under fractional Brownian motion in long-term clinical trials
- Fast and exact synthesis of stationary multivariate Gaussian time series using circulant embedding
- Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
- Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
- Fractal analyses for `short' time series: A re-assessment of classical methods
- Estimating the Hurst effect and its application in monitoring clinical trials
- Estimation of Hurst exponent revisited
- Mean-Structure and Autocorrelation Consistent Covariance Matrix Estimation
- Lower bound for the expected supremum of fractional brownian motion using coupling
- Semiparametric estimation of the long-range parameter
- The simulation of random vector time series with given spectrum
- Testing for structural change in a long-memory environment
- Averaged periodogram estimation of long memory
- Long memory processes and fractional integration in econometrics
- Likelihood inference for discriminating between long-memory and change-point models
- On asymptotic constants in the theory of extremes for Gaussian processes
- Wavelet Fisher's information measure of \(1/f^\alpha\) signals
- Wavelet \(q\)-Fisher information for scaling signal analysis
- LONG MEMORY AND SAMPLING FREQUENCIES: EVIDENCE IN STOCK INDEX FUTURES MARKETS
- Fokker-Planck type equations associated with fractional Brownian motion controlled by infinitely divisible processes
- Bounds for expected maxima of Gaussian processes and their discrete approximations
- SIMULATION AND ESTIMATION OF LONG MEMORY CONTINUOUS TIME MODELS
- Quantum probes for fractional Gaussian processes
- LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS
- A fast fractional difference algorithm
- Approximations to distributions of statistics used for testing hypotheses about the number of modes of a population
- Gaussian processes and neuronal modeling
- Specification testing for regression models with dependent data
- Estimation of the fractionally differencing parameter with the R/S method
- Time series regression with long-range dependence
- Permutation entropy of fractional Brownian motion and fractional Gaussian noise
- An alternative bootstrap to moving blocks for time series regression models
- Efficiency in estimation of memory
- Revisiting the relations between Hurst exponent and fractional differencing parameter for long memory
- Kink estimation with correlated noise
- Fractional Brownian gyrator
- The memory of stochastic volatility models
- Contrasting stochasticity with chaos in a permutation Lempel-Ziv complexity -- Shannon entropy plane
- Observation time dependent mean first passage time of diffusion and subdiffusion processes
- Local polynomial Whittle estimation of perturbed fractional processes
- Tests for comparing time series of unequal lengths
- First-passage dynamics of linear stochastic interface models: numerical simulations and entropic repulsion effect
- Fractional motions
- A study of wavelet analysis and data extraction from second-order self-similar time series
- Drift parameter estimation for tempered fractional Ornstein-Uhlenbeck processes based on discrete observations
- Including Long-Range Dependence in Integrate-and-Fire Models of the High Interspike-Interval Variability of Cortical Neurons
- Sieve bootstrapping the memory parameter in long-range dependent stationary functional time series
- On the connection between orthant probabilities and the first passage time problem
- Estimation of long-range dependence in gappy Gaussian time series
- Approximate wavelet-based simulation of long memory processes
- A model relating mean squared displacement and angular dynamics in particle motions
- Computationally efficient methods for two multivariate fractionally integrated models
- Local Whittle estimation of the memory parameter in presence of deterministic components
- Statistical challenges in microrheology
- Random time series in astronomy
- Local Whittle estimation of long-range dependence for functional time series
- Contrasting chaos with noise via local versus global information quantifiers
- Distinguishing stationary/nonstationary scaling processes using wavelet Tsallis \(q\)-entropies
- Mathematical models for dynamics of molecular processes in living biological cells a single particle tracking approach
- Correlation properties of (discrete) fractional Gaussian noise and fractional Brownian motion
- Practical powerful wavelet packet tests for second-order stationarity
- A simple test of changes in mean in the possible presence of long-range dependence
- Comparison of Times Series with Unequal Length in the Frequency Domain
- Fast and Exact Simulation of Complex-Valued Stationary Gaussian Processes Through Embedding Circulant Matrix
- Option pricing for barrier options under a regime-switching mixed fractional Brownian motion with jumps model
- Random diffusivity scenarios behind anomalous non-Gaussian diffusion
- Classification of stochastic processes by convolutional neural networks
- Numerical perspectives on the rebalancing premium
- Distinguishing short and long memory volatility specifications
- Comparing two nonparametric regression curves in the presence of long memory in covariates and errors
- Biases in the simulation and analysis of fractal processes
- Quantum systems for Monte Carlo methods and applications to fractional stochastic processes
- Tempered fractional Brownian motion: wavelet estimation, modeling and testing
- Sample size determination for group sequential test under fractional Brownian motion
- Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application
- On the wavelet-based simulation of anomalous diffusion
- Fractional Brownian motion and long term clinical trial recruitment
- Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases
- Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
- Modelling structural breaks, long memory and stock market volatility: an overview
- Testing for structural change in regression with long memory processes
- A theoretical framework for the TTA algorithm
- Out of sample forecasts of quadratic variation
- FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS
- Semiparametric estimation for stationary processes whose spectra have an unknown pole
- Group sequential tests by boundary crossing via drift fractional Brownian motion: Bayesian estimation
- Scaled quadratic variation for controlled rough paths and parameter estimation of fractional diffusions
- Simulation of a local time fractional stable motion
- Tests of Correlation Among Wavelet-Based Estimates for Long Memory Processes
- Modified sign method for testing the fractality of Gaussian noise
- Well-posedness and strong convergence analysis of stochastic space-time fractional wave problems driven by fractional Brownian sheet
- Impact of the periodicity and trend on the FD parameter estimation
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