Cited in
(only showing first 100 items - show all)- A Kolmogorov and Tightness Criterion in Modular Besov Spaces and an Application to a Class of Gaussian Processes
- Detecting and identifying interventions with the Whittle spectral approach in a long memory panel data model
- Bayesian semi-parametric estimation of the long-memory parameter under FEXP-priors
- Self-similarity and Lamperti convergence for families of stochastic processes
- Wavelet-based analysis of non-Gaussian long-range dependent processes and estimation of the Hurst parameter
- FARIMA with stable innovations model of Great Salt Lake elevation time series
- The smoothing dichotomy in nonparametric regression under long‐memory errors
- Long memory and regime switching
- Ruin problem and how fast stochastic processes mix
- Concept of dynamic memory in economics
- New robust confidence intervals for the mean under dependence
- Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach
- From infinite urn schemes to self-similar stable processes
- Behaviour of skewness, kurtosis and normality tests in long memory data
- Testing structural breaks versus long memory with the Box-Pierce statistics: a Monte Carlo study
- Invited article by M. Gidea: Extreme events and emergency scales
- Data-driven semi-parametric detection of multiple changes in long-range dependent processes
- Bayesian nonparametric estimation of the spectral density of a long or intermediate memory Gaussian process
- Wavelet frequency domain approach for statistical modeling of rainfall time-series data
- Influence of long memory on the asymptotic behaviour of functional estimators
- On robust tail index estimation for linear long-memory processes
- Semiparametric regression under long-range dependent errors.
- On estimating the marginal distribution of a detrended series with long memory
- Statistical analysis of autoregressive fractionally integrated moving average models in R
- Refined Inference on Long Memory in Realized Volatility
- A note on using the empirical moment generating function to estimate the variance of nonparametric trend estimates from independent time series replicates
- Compactly supported correlation functions
- Almost sure and moment stability properties of fractional order Black-Scholes model
- Large deviation properties of constant rate data streams sharing a buffer with long-range dependent traffic in critical loading
- Long-range dependence of time series for MSFT data of the prices of shares and returns
- Perpetual learning and apparent long memory
- Variations and estimators for self-similarity parameter of sub-fractional Brownian motion via Malliavin calculus
- Asymptotic normality of the estimators for fractional Brownian motions with discrete data
- Large deviations of time-averaged statistics for Gaussian processes
- A wavelet analysis of the Rosenblatt process: chaos expansion and estimation of the self-similarity parameter
- Power-Law Cross-Correlations: Issues, Solutions and Future Challenges
- Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models
- On the Beneficial Impact of Strong Correlations for Anomaly Detection
- Multivariate generalized linear-statistics of short range dependent data
- EWMA control charts for detecting changes in the mean of a long-memory process
- Sign tests for long-memory time series
- Local linear estimation for regression models with locally stationary long memory errors
- Do `complex' financial models really lead to complex dynamics? Agent-based models and multifractality
- On fast generation of fractional Gaussian noise
- Wavelet-based bootstrapping of spatial patterns on a finite lattice
- Note on asymptotic behavior of spatial sign autocovariance matrices
- On nonparametric ridge estimation for multivariate long-memory processes
- On the empirical process of tempered moving averages
- Fuzzy clustering of time series with time-varying memory
- Operating characteristics for group sequential trials monitored under fractional Brownian motion
- Two approximation methods to synthesize the power spectrum of fractional Gaussian noise
- The effect of long-memory arrivals on queue performance
- A test for additive outliers applicable to long-memory time series
- Repeated confidence intervals under fractional Brownian motion in long-term clinical trials
- Asymptotics of the sample mean and sample covariance of long-range-dependent series
- Comparative evaluation of semiparametric long-memory estimators
- Estimation of seasonal fractionally integrated processes
- On the fractional Eulerian numbers and equivalence of maps with long term power-law memory (integral Volterra equations of the second kind) to grünvald-Letnikov fractional difference (differential) equations
- Multivariate long-memory cohort mortality models
- Surface estimation under local stationarity
- Local asymptotic normality for regression models with long-memory disturbance
- A study of the fractal character in electronic noise processes
- MULTIVARIATE LIMIT THEOREMS IN THE CONTEXT OF LONG‐RANGE DEPENDENCE
- Simultaneous estimation of the parameters of the Hurst-Kolmogorov stochastic process
- Concentration inequalities for empirical processes of linear time series
- A family of random sup-measures with long-range dependence
- Local empirical spectral measure of multivariate processes with long range dependence.
- Long range dependence of point processes, with queueing examples
- Self-affine time series: Measures of weak and strong persistence.
- The Volatility of Realized Volatility
- Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
- Invariance axioms and functional form restrictions in structural models
- Multifractal detrended fluctuation analysis: practical applications to financial time series
- Long-range dependent time series specification
- Asymptotic behavior of the Whittle estimator for the increments of a Rosenblatt process
- Bayesian inference of the fractional Ornstein-Uhlenbeck process under a flow sampling scheme
- On trend estimation under monotone Gaussian subordination with long-memory: application to fossil pollen series
- Minimax-rate adaptive nonparametric regression with unknown correlations of errors
- On asymptotically optimal wavelet estimation of trend functions under long-range dependence
- Generalized entropy approach to stable Lévy distributions with financial application
- Stochastic volatility and option pricing with long-memory in discrete and continuous time
- Limit theorems for functionals of moving averages
- Projective Stochastic Equations and Nonlinear Long Memory
- A note on filtering for long memory processes
- Kernel density estimation for linear processes
- Fractional Brownian motion time-changed by gamma and inverse gamma process
- Nonparametric regression with correlated errors.
- Spectral analysis of multifractional LRD functional time series
- Nonparametric estimation of conditional medians for linear and related processes
- Sample path moderate deviations for a family of long-range dependent traffic and associated queue length processes
- Probability density of fractional Brownian motion and the fractional Langevin equation with absorbing walls
- Macroeconomic models with long dynamic memory: fractional calculus approach
- Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity
- On nonparametric density estimation for multivariate linear long-memory processes
- Nearest neighbors estimation for long memory functional data
- A moderate deviation principle for \(m\)-dependent random variables with unbounded \(m\)
- Estimation of eigenvalues, eigenvectors and scores in FDA models with dependent errors
- On two sample inference for eigenspaces in functional data analysis with dependent errors
- Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
- Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes
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