51 citations · 182 across the 29 of their papers we have counts for
Showing 2017Show all
3 papers · 1 filter
math.ST2017★ 1 cited
Estimating long memory in panel random-coefficient AR(1) data
Remigijus Leipus, Anne Philippe, Vytaute Pilipauskaite +1
It is well-known that random-coefficient AR(1) process can have long memory depending on the index of the tail distribution function of the random coefficient, if it is a regul…
math.PR2017★ 2 cited
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…
math.PR2017
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…