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- Centre National de la Recherche ScientifiqueFR201 papers
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9 papers · 1 filter
Invariance Principles for Tempered Fractionally Integrated Processes
Farzad Sabzikar, Donatas Surgailis
We discuss invariance principles for autoregressive tempered fractionally integrated moving averages in -stable i.i.d. innovations and related tempered linear proc…
Tempered fractional Brownian and stable motions of second kind
Farzad Sabzikar, Donatas Surgailis
Meerschaert and Sabzikar [12], [13] introduced tempered fractional Brownian/stable motion (TFBM/TFSM) by including an exponential tempering factor in the moving average representat…
Operator self-similar processes and functional central limit theorems
Vaidotas Characiejus, Alfredas Račkauskas
Let be a linear process with values in the separable Hilbert space given by for each , where …
A short note on a class of statistics for estimation of the Hurst index of fractional Brownian motion
Kestutis Kubilius, Viktor Skorniakov
We propose some class of statistics suitable for estimation of the Hurst index of the fractional Brownian motion based on the second order increments of an observed discrete trajec…
Randomly stopped sums with consistently varying distributions
Edita Kizinevič, Jonas Sprindys, Jonas Šiaulys
Let be a sequence of independent random variables, and be a counting random variable independent of this sequence. We consider conditions for $\{ξ_1,ξ_2,\l…
Exact confidence intervals of the extended Orey index for Gaussian processes
Kestutis Kubilius, Dmitrij Melichov
In this paper exact confidence intervals for the Orey index of Gaussian processes are obtained using concentration inequalities for Gaussian quadratic forms and discrete observatio…