AbstractWe develop the theory of fractionally differenced ARIMA time series with stable infinite variance innovations establishing conditions for existence and invertibility. We analyze their asymptotic dependence structure by means of the codifference and the covariation, measures of dependence which are extensions of the covariance and are applicable to stochastic processes with infinite variance
Linear fractional stable motion is an example of a self-similar stationary increments stochastic pro...
Abstract Some probabilistic aspects of the number variance statistic are investigated. Infinite syst...
Long memory processes driven by Lévy noise with finite second-order moments have been well studied i...
AbstractWe develop the theory of fractionally differenced ARIMA time series with stable infinite var...
Consider the fractional ARIMA time series with innovations that have infinite variance. This is a fi...
Abstract. We introduce a class of stationary processes characterized by the behaviour of their infin...
Non-Gaussian stable stochastic models have attracted growing interest in recent years, due to their ...
This thesis is concerned with various investigations relating to time series analysis and forecastin...
We establish convergence to an invariant measure as time tends to infinity, for a large class of (po...
In the last decades, fractional differential equations have become popular among scientists in order...
We consider a time series model involving a fractional stochastic component, whose integration order...
In this study we consider the fractional Ornstein-Uhlenbeck processes driven by α-stable Levy motion...
The field of stochastic stability is surveyed, with emphasis on the invariance theorems and their po...
We generalize the BM-local time fractional symmetric a-stable motion introduced by Cohen and Samorod...
This paper considers estimation of the parameters for fractionally integrated processes with infinit...
Linear fractional stable motion is an example of a self-similar stationary increments stochastic pro...
Abstract Some probabilistic aspects of the number variance statistic are investigated. Infinite syst...
Long memory processes driven by Lévy noise with finite second-order moments have been well studied i...
AbstractWe develop the theory of fractionally differenced ARIMA time series with stable infinite var...
Consider the fractional ARIMA time series with innovations that have infinite variance. This is a fi...
Abstract. We introduce a class of stationary processes characterized by the behaviour of their infin...
Non-Gaussian stable stochastic models have attracted growing interest in recent years, due to their ...
This thesis is concerned with various investigations relating to time series analysis and forecastin...
We establish convergence to an invariant measure as time tends to infinity, for a large class of (po...
In the last decades, fractional differential equations have become popular among scientists in order...
We consider a time series model involving a fractional stochastic component, whose integration order...
In this study we consider the fractional Ornstein-Uhlenbeck processes driven by α-stable Levy motion...
The field of stochastic stability is surveyed, with emphasis on the invariance theorems and their po...
We generalize the BM-local time fractional symmetric a-stable motion introduced by Cohen and Samorod...
This paper considers estimation of the parameters for fractionally integrated processes with infinit...
Linear fractional stable motion is an example of a self-similar stationary increments stochastic pro...
Abstract Some probabilistic aspects of the number variance statistic are investigated. Infinite syst...
Long memory processes driven by Lévy noise with finite second-order moments have been well studied i...