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Self‐Similar Processes · Study

WorkSelf‐Similar Processes

Murad S. Taqqu2004

Work2004

Self‐Similar Processes

117 citations·0/0 files stored·Encyclopedia of Statistical Sciences

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Complex Systems and Time Series Analysis Mathematical Dynamics and Fractals Stochastic processes and statistical mechanics

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References

1968Fractional Brownian Motions, Fractional Noises and Applications 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 1981Fractional Differencing 1969Computer Experiments With Fractional Gaussian Noises: Part 1, Averages and Variances 1978Preservation of the rescaled adjusted range: 1. A reassessment of the Hurst Phenomenon 1969Long-Run Linearity, Locally Gaussian Process, H-Spectra and Infinite Variances 1981Multiple Wiener-Itô Integrals

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2006Empirical Mode Decomposition, fractional Gaussian noise and Hurst exponent estimation 2014Generalized Hermite processes, discrete chaos and limit theorems 2008Functional quantization rate and mean regularity of processes with an application to Lévy processes 2005PATH PROPERTIES OF THE LINEAR MULTIFRACTIONAL STABLE MOTION 2011Continuous time Black–Scholes equation with transaction costs in subdiffusive fractional Brownian motion regime 2010Drift parameter estimation in fractional diffusions driven by perturbed random walks

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1986A Bibliographical Guide to Self-Similar Processes and Long-Range Dependencechapter · 6 shared references 2017A Brief History of Long Memory: Hurst, Mandelbrot and the Road to ARFIMA, 1951–1980article · 5 shared references 1994ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAMarticle · 5 shared references 2007Power-law autocorrelated stochastic processes with long-range cross-correlationsarticle · 4 shared references 2000An alternative maximum likelihood estimator of long-memory processes using compactly supported waveletsarticle · 4 shared references 1995Stock Price Returns and the Joseph Effect: A Fractional Version of the Black-Scholes Modelchapter · 4 shared references

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Year2004

Typeother

Published2004-10-15

VenueEncyclopedia of Statistical Sciences

Languageen

Citations117

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1002/0471667196.ess2383

openalex_workW4253070546

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2008Equity warrants pricing model under Fractional Brownian motion and an empirical study

2008Multiclass G/M/1 queueing system with self-similar input and non-preemptive priority