3 citations · 7 across the 11 of their papers we have counts for
11 papers
Testing of tempered fractional Brownian motions
Katarzyna Macioszek, Farzad Sabzikar, Krzysztof Burnecki
We propose here a testing methodology based on the autocovariance, detrended moving average, and time-averaged mean-squared displacement statistics for tempered fractional Brownian…
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…
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…
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…
Tempered Hermite process
Farzad Sabzikar
A tempered Hermite process modifies the power law kernel in the time domain representation of a Hermite process by multiplying an exponential tempering factor such that the p…
Invariance principle for tempered fractional time series models
Farzad Sabzikar
Autoregressive tempered fractionally integrated moving average (ARTFIMA) time series is a useful model for velocity data in turbulence flows. In this paper, we obtain an invariance…