Zobrazeno 1 - 10
of 44
pro vyhledávání: '"Farzad Sabzikar"'
Autor:
Farzad Sabzikar, Piotr Kokoszka
Publikováno v:
Journal of Time Series Analysis. 44:280-293
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::64bf540af33df09c88de9101e2a88f90
https://doi.org/10.1111/jtsa.12667
https://doi.org/10.1111/jtsa.12667
Autor:
Farzad Sabzikar
Publikováno v:
Modern Stochastics: Theory and Applications, Vol 2, Iss 4, Pp 327-341 (2015)
A tempered Hermite process modifies the power law kernel in the time domain representation of a Hermite process by multiplying an exponential tempering factor $\lambda >0$ such that the process is well defined for Hurst parameter $H>\frac{1}{2}$. A t
Externí odkaz:
https://doaj.org/article/aaa9918ce89e40ada45d05700915a963
Publikováno v:
Journal of Time Series Analysis. 42:442-470
Climate data often provides a periodically stationary time series, due to seasonal variations in the mean and covariance structure. Periodic ARMA models, where the parameters vary with the season, capture the nonstationary behavior. High frequency da
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9ee64bc9b33028e3e070de3e42120e45
https://doi.org/10.1111/jtsa.12579
https://doi.org/10.1111/jtsa.12579
Publikováno v:
JOURNAL OF THEORETICAL PROBABILITY
The present paper investigates the effects of tempering the power law kernel of the moving average representation of a fractional Brownian motion (fBm) on some local and global properties of this Gaussian stochastic process. Tempered fractional Brown
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3ac3ea6fd10c63d383fa3c7b1bb107c0
https://doi.org/10.1007/s10959-020-01068-z
https://doi.org/10.1007/s10959-020-01068-z
Publikováno v:
Journal of Statistical Physics. 178:954-985
We define two new classes of stochastic processes, called tempered fractional Levy process of the first and second kinds (TFLP and TFLP II, respectively). TFLP and TFLP II make up very broad finite-variance, generally non-Gaussian families of transie
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3d34e2e0a2b07d5dcc0f9c0185698907
https://doi.org/10.1007/s10955-019-02475-1
https://doi.org/10.1007/s10955-019-02475-1
In an early article on near-unit root autoregression, Ahtola and Tiao (1984) studied the behavior of the score function in a stationary first order autoregression driven by independent Gaussian innovations as the autoregressive coefficient approached
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cf84542eec401b8610a7d2ec5da6702f
https://eprints.soton.ac.uk/435267/
https://eprints.soton.ac.uk/435267/
Autor:
Farzad Sabzikar, Kris De Brabanter
This paper develops the asymptotic theory for parametric and nonparametric regression models when the errors have a fractional local to unity root (FLUR) model structure. FLUR models are stationary time series with semi-long range dependence property
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::36cd8585b26ad38f1836d20d5973bd78
http://arxiv.org/abs/2002.09753
http://arxiv.org/abs/2002.09753
In this paper, we define a new and broad family of vector-valued random fields called tempered operator fractional operator-stable random fields (TRF, for short). TRF is typically non-Gaussian and generalizes tempered fractional stable stochastic pro
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2c09d07a249c5fe2a3bcff978acca113
http://arxiv.org/abs/2002.09612
http://arxiv.org/abs/2002.09612
Publikováno v:
Journal of Physics A: Mathematical and Theoretical. 55:174002
We present here the autoregressive tempered fractionally integrated moving average (ARTFIMA) process obtained by taking the tempered fractional difference operator of the non-Gaussian stable noise. The tempering parameter makes the ARTFIMA process st
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b4143af91925dc7403352f1cb90c1393
https://doi.org/10.1088/1751-8121/ac5b92
https://doi.org/10.1088/1751-8121/ac5b92
Autor:
Farzad Sabzikar, Donatas Surgailis
Publikováno v:
Stochastic Processes and their Applications. 128:3419-3438
We discuss invariance principles for autoregressive tempered fractionally integrated moving averages in α -stable ( 1 α ≤ 2 ) i.i.d. innovations and related tempered linear processes with vanishing tempering parameter lim N → ∞ λ ∕ N = λ
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::aa3cdca4037331be6d5ef59cc38218cd
https://doi.org/10.1016/j.spa.2017.11.004
https://doi.org/10.1016/j.spa.2017.11.004