IDEAS home Printed from https://ideas.repec.org/r/cup/cbooks/9781107039469.html
   My bibliography  Save this item

Long-Range Dependence and Self-Similarity

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. María E. Sousa-Vieira & Manuel Fernández-Veiga, 2023. "Study of Coded ALOHA with Multi-User Detection under Heavy-Tailed and Correlated Arrivals," Future Internet, MDPI, vol. 15(4), pages 1-18, March.
  2. Abry, Patrice & Didier, Gustavo, 2018. "Wavelet eigenvalue regression for n-variate operator fractional Brownian motion," Journal of Multivariate Analysis, Elsevier, vol. 168(C), pages 75-104.
  3. Grahovac, Danijel, 2020. "Multifractal processes: Definition, properties and new examples," Chaos, Solitons & Fractals, Elsevier, vol. 134(C).
  4. Nourdin, Ivan & Nualart, David & Peccati, Giovanni, 2021. "The Breuer–Major theorem in total variation: Improved rates under minimal regularity," Stochastic Processes and their Applications, Elsevier, vol. 131(C), pages 1-20.
  5. Johann Gehringer & Xue-Mei Li, 2022. "Functional Limit Theorems for the Fractional Ornstein–Uhlenbeck Process," Journal of Theoretical Probability, Springer, vol. 35(1), pages 426-456, March.
  6. Araya, Héctor & Tudor, Ciprian A., 2019. "Behavior of the Hermite sheet with respect to theHurst index," Stochastic Processes and their Applications, Elsevier, vol. 129(7), pages 2582-2605.
  7. Ran Wang & Yimin Xiao, 2022. "Exact Uniform Modulus of Continuity and Chung’s LIL for the Generalized Fractional Brownian Motion," Journal of Theoretical Probability, Springer, vol. 35(4), pages 2442-2479, December.
  8. Gannaz, Irène, 2023. "Asymptotic normality of wavelet covariances and multivariate wavelet Whittle estimators," Stochastic Processes and their Applications, Elsevier, vol. 155(C), pages 485-534.
  9. Didier, Gustavo & Meerschaert, Mark M. & Pipiras, Vladas, 2018. "Domain and range symmetries of operator fractional Brownian fields," Stochastic Processes and their Applications, Elsevier, vol. 128(1), pages 39-78.
  10. Battey, H.S. & Cox, D.R., 2022. "Some aspects of non-standard multivariate analysis," Journal of Multivariate Analysis, Elsevier, vol. 188(C).
  11. Patrice Abry & Gustavo Didier & Hui Li, 2019. "Two-step wavelet-based estimation for Gaussian mixed fractional processes," Statistical Inference for Stochastic Processes, Springer, vol. 22(2), pages 157-185, July.
  12. Patrice Abry & Yannick Malevergne & Herwig Wendt & Marc Senneret & Laurent Jaffrès & Blaise Liaustrat, 2019. "Shuffling for understanding multifractality, application to asset price time series," Post-Print hal-02361738, HAL.
  13. Kouritzin, Michael A. & Paul, Sounak, 2022. "On almost sure limit theorems for heavy-tailed products of long-range dependent linear processes," Stochastic Processes and their Applications, Elsevier, vol. 152(C), pages 208-232.
  14. Lujia Bai & Weichi Wu, 2021. "Detecting long-range dependence for time-varying linear models," Papers 2110.08089, arXiv.org, revised Mar 2023.
  15. Ehsan Azmoodeh & Yuliya Mishura & Farzad Sabzikar, 2022. "How Does Tempering Affect the Local and Global Properties of Fractional Brownian Motion?," Journal of Theoretical Probability, Springer, vol. 35(1), pages 484-527, March.
  16. Kubiv Stepan, 2019. "Approximations and forecasting quasi-stationary processes with sudden runs," Technology audit and production reserves, 4(48) 2019, Socionet;Technology audit and production reserves, vol. 4(4(48)), pages 37-39.
  17. Ernst, Philip A. & Huang, Dongzhou & Viens, Frederi G., 2023. "Yule’s “nonsense correlation” for Gaussian random walks," Stochastic Processes and their Applications, Elsevier, vol. 162(C), pages 423-455.
  18. Meng-Chen Hsieh & Clifford Hurvich & Philippe Soulier, 2022. "Long-Horizon Return Predictability from Realized Volatility in Pure-Jump Point Processes," Papers 2202.00793, arXiv.org.
  19. Rudy Morel & Gaspar Rochette & Roberto Leonarduzzi & Jean-Philippe Bouchaud & St'ephane Mallat, 2022. "Scale Dependencies and Self-Similar Models with Wavelet Scattering Spectra," Papers 2204.10177, arXiv.org, revised Jun 2023.
  20. Obayda Assaad & Ciprian A. Tudor, 2020. "Parameter identification for the Hermite Ornstein–Uhlenbeck process," Statistical Inference for Stochastic Processes, Springer, vol. 23(2), pages 251-270, July.
  21. Ta Cong Son & Le Van Dung, 2022. "Central Limit Theorems for Weighted Sums of Dependent Random Vectors in Hilbert Spaces via the Theory of the Regular Variation," Journal of Theoretical Probability, Springer, vol. 35(2), pages 988-1012, June.
  22. Bai, Shuyang & Taqqu, Murad S., 2019. "Sensitivity of the Hermite rank," Stochastic Processes and their Applications, Elsevier, vol. 129(3), pages 822-840.
  23. Shuyang Bai, 2022. "Limit Theorems for Conservative Flows on Multiple Stochastic Integrals," Journal of Theoretical Probability, Springer, vol. 35(2), pages 917-948, June.
  24. Düker, Marie-Christine, 2020. "Limit theorems in the context of multivariate long-range dependence," Stochastic Processes and their Applications, Elsevier, vol. 130(9), pages 5394-5425.
  25. Tomoyuki Ichiba & Guodong Pang & Murad S. Taqqu, 2022. "Path Properties of a Generalized Fractional Brownian Motion," Journal of Theoretical Probability, Springer, vol. 35(1), pages 550-574, March.
  26. Durieu, Olivier & Samorodnitsky, Gennady & Wang, Yizao, 2020. "From infinite urn schemes to self-similar stable processes," Stochastic Processes and their Applications, Elsevier, vol. 130(4), pages 2471-2487.
  27. Yuanhua Feng & Jan Beran & Sebastian Letmathe & Sucharita Ghosh, 2020. "Fractionally integrated Log-GARCH with application to value at risk and expected shortfall," Working Papers CIE 137, Paderborn University, CIE Center for International Economics.
  28. Radomyra Shevchenko & Ciprian A. Tudor, 2020. "Parameter estimation for the Rosenblatt Ornstein–Uhlenbeck process with periodic mean," Statistical Inference for Stochastic Processes, Springer, vol. 23(1), pages 227-247, April.
  29. Grahovac, Danijel & Leonenko, Nikolai N. & Taqqu, Murad S., 2019. "Limit theorems, scaling of moments and intermittency for integrated finite variance supOU processes," Stochastic Processes and their Applications, Elsevier, vol. 129(12), pages 5113-5150.
  30. Yuanhua Feng & Wolfgang Karl Härdle, 2021. "Uni- and multivariate extensions of the sinh-arcsinh normal distribution applied to distributional regression," Working Papers CIE 142, Paderborn University, CIE Center for International Economics.
  31. Grahovac, Danijel, 2022. "Intermittency in the small-time behavior of Lévy processes," Statistics & Probability Letters, Elsevier, vol. 187(C).
  32. Grahovac, Danijel & Leonenko, Nikolai N. & Taqqu, Murad S., 2018. "Intermittency of trawl processes," Statistics & Probability Letters, Elsevier, vol. 137(C), pages 235-242.
  33. Baek, Changryong & Gates, Katheleen M. & Leinwand, Benjamin & Pipiras, Vladas, 2021. "Two sample tests for high-dimensional autocovariances," Computational Statistics & Data Analysis, Elsevier, vol. 153(C).
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.