51 citations · 182 across the 29 of their papers we have counts for
3 papers · 1 filter
The Discrete and Continuum Broken Line Process
Leonardo T. Rolla, Vladas Sidoravicius, Donatas Surgailis +1
In this work we introduce the discrete-space broken line process (with discrete and continues parameter values) and derive some of its properties. We explore polygonal Markov field…
A two-sample test for comparison of long memory parameters
Frédéric Lavancier, Anne Philippe, Donatas Surgailis
We construct a two-sample test for comparison of long memory parameters based on ratios of two rescaled variance (V/S) statistics studied in [Giraitis L., Leipus, R., Philippe, A.,…
Covariance function of vector self-similar process
Frédéric Lavancier, Anne Philippe, Donatas Surgailis
The paper obtains the general form of the cross-covariance function of vector fractional Brownian motion with correlated components having different self-similarity indices.