3 citations · 17 across the 26 of their papers we have counts for
8 papers · 1 filter
Certain Semi-Lévy Driven CARMA Processes: Estimation and Forecasting
N. Modarresi, S. Rezakhah, M. Mohammadi
Continuous-time autoregressive moving average (CARMA) process driven by simple semi-Lévy process has periodically correlated property with many potential application in finance. In…
Semi-Levy driven continuous-time GARCH process
M. Mohammadi, S. Rezakhah, N. Modarresi
We study the class of semi-Levy driven continuous-time GARCH, denoted by SLD-COGARCH, process. The statistical properties of this process are characterized. We show that the state…
A new structure for analyzing discrete scale invariant processes: Covariance and Spectra
N . Modarresi, S . Rezakhah
Improving the efficiency of discrete time scale invariant (DSI) processes, we consider some flexible sampling of a continuous time DSI process with scale ,…
Certain Periodically Correlated Multi-component Locally Stationary Processes
N. Modarresi, S. Rezakhah
By introducing as a random mixture of two stationary processes where the time dependent random weights have exponentially convex covariance, we show that this process h…
Characterization of Discrete Time Scale Invariant Markov Sequences
N. Modarresi, S. Rezakhah
By considering special sampling of discrete scale invariant (DSI) processes we provide a sequence which is in correspondence to multi-dimensional self-similar process. By imposing…
Expected Number of Slope Crossings of Certain Gaussian Random Polynomials
S. Rezakhah, S. Shemehsavar
Let be a random polynomial where the coefficients form a sequence of centered Gaussian random variables. Moreover, assume that the…