3 citations · 17 across the 26 of their papers we have counts for
4 papers · 1 filter
Hurst estimation of scale invariant processes with drift and stationary increments
N. Modarresi, S. Rezakhah
The characteristic feature of the discrete scale invariant (DSI) processes is the invariance of their finite dimensional distributions by dilation for certain scaling factor. DSI p…
Discretization of Continuous Time Discrete Scale Invariant Processes: Estimation and Spectra
S. Rezakhah, Y. Maleki
Imposing some flexible sampling scheme we provide some discretization of continuous time discrete scale invariant (DSI) processes which is a subsidiary discrete time DSI process. T…
Testing Exponentiality Based on Rényi Entropy With Progressively Type-II Censored Data
Akram Kohansal, Saeid Rezakhah
We express the joint Rényi entropy of progressively censored order statistics in terms of an incomplete integral of the hazard function, and provide a simple estimate of the joint…
Markov Switching Component ARCH Model: Stability and Forecasting
N. Alemohammad, S. Rezakhah, S. H. Alizadeh
This paper introduces an extension of the Markov switching GARCH model where the volatility in each state is a convex combination of two different GARCH components with time varyin…