61 citations · 96 across the 31 of their papers we have counts for
7 papers · 1 filter
Non-ergodic inference for stationary-increment harmonizable stable processes
Ly Viet Hoang, Evgeny Spodarev
We consider the class of stationary-increment harmonizable stable processes with infinite control measure, which most notably includes real harmonizable fractional stable motions.…
Non-ergodic statistics and spectral density estimation for stationary real harmonizable symmetric -stable processes
Ly Viet Hoang, Evgeny Spodarev
We consider non-ergodic class of stationary real harmonizable symmetric -stable processes with a finite symmetric and absolutely continuou…
Prediction of random variables by excursion metric projections
Vitalii Makogin, Evgeny Spodarev
We use the concept of excursions for the prediction of random variables without any moment existence assumptions. To do so, an excursion metric on the space of random variables is…
Detection of Long Range Dependence in the Time Domain for (In)Finite-Variance Time Series
Marco Oesting, Albert Rapp, Evgeny Spodarev
Empirical detection of long range dependence (LRD) of a time series often consists of deciding whether an estimate of the memory parameter corresponds to LRD. Surprisingly, the…
A solution to a linear integral equation with an application to statistics of infinitely divisible moving averages
Jochen Glück, Stefan Roth, Evgeny Spodarev
For a stationary moving average random field, a non-parametric low frequency estimator of the Lévy density of its infinitely divisible independently scattered integrator measure is…
Nonparametric estimation of the kernel function of symmetric stable moving average random functions
Jürgen Kampf, Georgiy Shevchenko, Evgeny Spodarev
We estimate the kernel function of a symmetric alpha stable () moving average random function which is observed on a regular grid of points. The proposed estimator relies on t…