81 citations · 495 across the 57 of their papers we have counts for
4 papers · 1 filter
Estimating heavy-tail exponents through max self-similarity
Stilian A. Stoev, George Michailidis, Murad S. Taqqu
In this paper, a novel approach to the problem of estimating the heavy-tail exponent alpha>0 of a distribution is proposed. It is based on the fact that block-maxima of size m of t…
Stable convergence of multiple Wiener-Itô integrals
Giovanni Peccati, Murad S. Taqqu
We prove sufficient conditions, ensuring that a sequence of multiple Wiener-Itô integrals (with respect to a general Gaussian process) converges stably to a mixture of normal distr…
Stable convergence of generalized stochastic integrals and the principle of conditioning: L^2 theory
Giovanni Peccati, Murad S. Taqqu
Consider generalized adapted stochastic integrals with respect to independently scattered random measures with second moments. We use a decoupling technique, known as the "principl…
A Wavelet Whittle estimator of the memory parameter of a non-stationary Gaussian time series
Eric Moulines, François Roueff, Murad S. Taqqu
We consider a time series with memory parameter . This time series is either stationary or can be made stationary after differencing a f…