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Results: 1-21 |
Results: 21
OPTION PRICING IN ARCH-TYPE MODELS
Authors: KALLSEN J TAQQU MS
Citation: J. Kallsen et Ms. Taqqu, OPTION PRICING IN ARCH-TYPE MODELS, Mathematical finance, 8(1), 1998, pp. 13-26
LIMIT-THEOREMS FOR BIVARIATE APPELL POLYNOMIALS - PART II - NONCENTRAL LIMIT-THEOREMS
Authors: GIRAITIS L TAQQU MS TERRIN N
Citation: L. Giraitis et al., LIMIT-THEOREMS FOR BIVARIATE APPELL POLYNOMIALS - PART II - NONCENTRAL LIMIT-THEOREMS, Probability theory and related fields, 110(3), 1998, pp. 333-367
CENTRAL LIMIT-THEOREMS FOR QUADRATIC-FORMS WITH TIME-DOMAIN CONDITIONS
Authors: GIRAITIS L TAQQU MS
Citation: L. Giraitis et Ms. Taqqu, CENTRAL LIMIT-THEOREMS FOR QUADRATIC-FORMS WITH TIME-DOMAIN CONDITIONS, Annals of probability, 26(1), 1998, pp. 377-398
SELF-SIMILARITY THROUGH HIGH-VARIABILITY - STATISTICAL-ANALYSIS OF ETHERNET LAN TRAFFIC AT THE SOURCE LEVEL
Authors: WILLINGER W TAQQU MS SHERMAN R WILSON DV
Citation: W. Willinger et al., SELF-SIMILARITY THROUGH HIGH-VARIABILITY - STATISTICAL-ANALYSIS OF ETHERNET LAN TRAFFIC AT THE SOURCE LEVEL, IEEE/ACM transactions on networking, 5(1), 1997, pp. 71-86
THE ASYMPTOTIC-BEHAVIOR OF QUADRATIC-FORMS IN HEAVY-TAILED STRONGLY DEPENDENT RANDOM-VARIABLES
Authors: KOKOSZKA PS TAQQU MS
Citation: Ps. Kokoszka et Ms. Taqqu, THE ASYMPTOTIC-BEHAVIOR OF QUADRATIC-FORMS IN HEAVY-TAILED STRONGLY DEPENDENT RANDOM-VARIABLES, Stochastic processes and their applications, 66(1), 1997, pp. 21-40
IS NETWORK TRAFFIC SELF-SIMILAR OR MULTIFRACTAL
Authors: TAQQU MS TEVEROVSKY V WILLINGER W
Citation: Ms. Taqqu et al., IS NETWORK TRAFFIC SELF-SIMILAR OR MULTIFRACTAL, Fractals, 5(1), 1997, pp. 63-73
LIMIT-THEOREMS FOR BIVARIATE APPELL POLYNOMIALS .1. CENTRAL LIMIT-THEOREMS
Authors: GIRAITIS L TAQQU MS
Citation: L. Giraitis et Ms. Taqqu, LIMIT-THEOREMS FOR BIVARIATE APPELL POLYNOMIALS .1. CENTRAL LIMIT-THEOREMS, Probability theory and related fields, 107(3), 1997, pp. 359-381
FRACTIONALLY DIFFERENCED ARIMA MODELS APPLIED TO HYDROLOGIC TIME-SERIES - IDENTIFICATION, ESTIMATION, AND SIMULATION
Authors: MONTANARI A ROSSO R TAQQU MS
Citation: A. Montanari et al., FRACTIONALLY DIFFERENCED ARIMA MODELS APPLIED TO HYDROLOGIC TIME-SERIES - IDENTIFICATION, ESTIMATION, AND SIMULATION, Water resources research, 33(5), 1997, pp. 1035-1044
SOME LONG-RUN PROPERTIES OF RAINFALL RECORDS IN ITALY
Authors: MONTANARI A ROSSO R TAQQU MS
Citation: A. Montanari et al., SOME LONG-RUN PROPERTIES OF RAINFALL RECORDS IN ITALY, JOURNAL OF GEOPHYSICAL RESEARCH-ATMOSPHERES, 101(D23), 1996, pp. 29431-29438
A CHARACTERIZATION OF MIXING PROCESSES OF TYPE-G
Authors: KOKOSZKA PS TAQQU MS
Citation: Ps. Kokoszka et Ms. Taqqu, A CHARACTERIZATION OF MIXING PROCESSES OF TYPE-G, Journal of theoretical probability, 9(1), 1996, pp. 3-17
INFINITE VARIANCE STABLE MOVING AVERAGES WITH LONG MEMORY
Authors: KOKOSZKA PS TAQQU MS
Citation: Ps. Kokoszka et Ms. Taqqu, INFINITE VARIANCE STABLE MOVING AVERAGES WITH LONG MEMORY, Journal of econometrics, 73(1), 1996, pp. 79-99
PARAMETER-ESTIMATION FOR INFINITE VARIANCE FRACTIONAL ARIMA
Authors: KOKOSZKA PS TAQQU MS
Citation: Ps. Kokoszka et Ms. Taqqu, PARAMETER-ESTIMATION FOR INFINITE VARIANCE FRACTIONAL ARIMA, Annals of statistics, 24(5), 1996, pp. 1880-1913
SELF-SIMILARITY IN HIGH-SPEED PACKET TRAFFIC - ANALYSIS AND MODELING OF ETHERNET TRAFFIC MEASUREMENTS
Authors: WILLINGER W TAQQU MS LELAND WE WILSON DV
Citation: W. Willinger et al., SELF-SIMILARITY IN HIGH-SPEED PACKET TRAFFIC - ANALYSIS AND MODELING OF ETHERNET TRAFFIC MEASUREMENTS, Statistical science, 10(1), 1995, pp. 67-85
FRACTIONAL ARIMA WITH STABLE INNOVATIONS
Authors: KOKOSZKA PS TAQQU MS
Citation: Ps. Kokoszka et Ms. Taqqu, FRACTIONAL ARIMA WITH STABLE INNOVATIONS, Stochastic processes and their applications, 60(1), 1995, pp. 19-47
NECESSARY CONDITIONS FOR THE EXISTENCE OF CONDITIONAL MOMENTS OF STABLE RANDOM-VARIABLES
Authors: CIOCZEKGEORGES R TAQQU MS
Citation: R. Cioczekgeorges et Ms. Taqqu, NECESSARY CONDITIONS FOR THE EXISTENCE OF CONDITIONAL MOMENTS OF STABLE RANDOM-VARIABLES, Stochastic processes and their applications, 56(2), 1995, pp. 233-246
ESTIMATORS FOR LONG-RANGE DEPENDENCE - AN EMPIRICAL-STUDY
Authors: TAQQU MS TEVEROVSKY V WILLINGER W
Citation: Ms. Taqqu et al., ESTIMATORS FOR LONG-RANGE DEPENDENCE - AN EMPIRICAL-STUDY, Fractals, 3(4), 1995, pp. 785-798
LONG-RANGE DEPENDENCE IN VARIABLE-BIT-RATE VIDEO TRAFFIC
Authors: BERAN J SHERMAN R TAQQU MS WILLINGER W
Citation: J. Beran et al., LONG-RANGE DEPENDENCE IN VARIABLE-BIT-RATE VIDEO TRAFFIC, IEEE transactions on communications, 43(2-4), 1995, pp. 1566-1579
HOW DO CONDITIONAL MOMENTS OF STABLE VECTORS DEPEND ON THE SPECTRAL MEASURE
Authors: CIOCZEKGEORGES R TAQQU MS
Citation: R. Cioczekgeorges et Ms. Taqqu, HOW DO CONDITIONAL MOMENTS OF STABLE VECTORS DEPEND ON THE SPECTRAL MEASURE, Stochastic processes and their applications, 54(1), 1994, pp. 95-111
DOES ASYMPTOTIC LINEARITY OF THE REGRESSION EXTEND TO STABLE DOMAINS OF ATTRACTION
Authors: CIOCZEKGEORGES R TAQQU MS
Citation: R. Cioczekgeorges et Ms. Taqqu, DOES ASYMPTOTIC LINEARITY OF THE REGRESSION EXTEND TO STABLE DOMAINS OF ATTRACTION, Journal of Multivariate Analysis, 48(1), 1994, pp. 70-86
ZERO-ONE LAWS FOR MULTILINEAR FORMS IN GAUSSIAN AND OTHER INFINITELY DIVISIBLE RANDOM-VARIABLES
Authors: ROSINSKI J SAMORODNITSKY G TAQQU MS
Citation: J. Rosinski et al., ZERO-ONE LAWS FOR MULTILINEAR FORMS IN GAUSSIAN AND OTHER INFINITELY DIVISIBLE RANDOM-VARIABLES, Journal of Multivariate Analysis, 46(1), 1993, pp. 61-82
ASYMPTOTIC DEPENDENCE OF MOVING AVERAGE TYPE SELF-SIMILAR STABLE RANDOM-FIELDS
Authors: KOKOSZKA PS TAQQU MS
Citation: Ps. Kokoszka et Ms. Taqqu, ASYMPTOTIC DEPENDENCE OF MOVING AVERAGE TYPE SELF-SIMILAR STABLE RANDOM-FIELDS, Nagoya Mathematical Journal, 130, 1993, pp. 85-100
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