2 citations · 4 across the 7 of their papers we have counts for
8 papers
Statistical inference for ARTFIMA time series with stable innovations
Jinu Kabala, Farzad Sabzikar
Autoregressive tempered fractionally integrated moving average with stable innovations modifies the power-law kernel of the fractionally integrated time series model by adding an e…
How does tempering affect the local and global properties of fractional Brownian motion?
Ehsan Azmoodeh, Yuliya Mishura, Farzad Sabzikar
The present paper investigates the effects of tempering the power law kernel of moving average representation of a fractional Brownian motion (fBm) on some local and global propert…
Asymptotic theory for regression models with fractional local to unity root errors
Farzad Sabzikar, Kris De Brabanter
This paper develops the asymptotic theory for parametric and nonparametric regression models when the errors have a fractional local to unity root (FLUR) model structure. FLUR mode…
On multivariate fractional random fields: tempering and operator-stable laws
G. Didier, S. Kanamori, F. Sabzikar
In this paper, we define a new and broad family of vector-valued random fields called tempered operator fractional operator-stable random fields (TRF, for short). TRF is typically…
On fractional Lévy processes: tempering, sample path properties and stochastic integration
Benjamin Cooper Boniece, Gustavo Didier, Farzad Sabzikar
We define two new classes of stochastic processes, called tempered fractional Lévy process of the first and second kinds (TFLP and TFLP , respectively). TFLP and TFLP …
Tempered fractional Brownian motion: wavelet estimation, modeling and testing
B. Cooper Boniece, Gustavo Didier, Farzad Sabzikar
The Davenport spectrum is a modification of the classical Kolmogorov spectrum for the inertial range of turbulence that accounts for non-scaling low frequency behavior. Like the cl…