Sample correlations of infinite variance time series models: An empirical and theoretical study.
Cohen, Jason, Resnick, Sidney, Samorodnitsky, Gennady (1998)
Journal of Applied Mathematics and Stochastic Analysis
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Cohen, Jason, Resnick, Sidney, Samorodnitsky, Gennady (1998)
Journal of Applied Mathematics and Stochastic Analysis
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Budsaba, Kamon, Chen, Pingyan, Volodin, Andrei (2007)
Lobachevskii Journal of Mathematics
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Lozanov-Crvenković, Z., Pilipović, S. (1989)
Publications de l'Institut Mathématique. Nouvelle Série
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W. Szczotka, P. Żebrowski (2012)
Applicationes Mathematicae
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Continuous time random walks with jump sizes equal to the corresponding waiting times for jumps are considered. Sufficient conditions for the weak convergence of such processes are established and the limiting processes are identified. Furthermore one-dimensional distributions of the limiting processes are given under an additional assumption.
Oldřich Kropáč (1981)
Kybernetika
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Brodskii, R.Ye., Virchenko, Yu.P. (2006)
Abstract and Applied Analysis
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Francesco Caravenna, Loïc Chaumont (2008)
Annales de l'I.H.P. Probabilités et statistiques
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Let { be a random walk in the domain of attraction of a stable law , i.e. there exists a sequence of positive real numbers ( ) such that / converges in law to . Our main result is that the rescaled process ( / , ≥0), when conditioned to stay positive, converges in law (in the functional sense) towards the corresponding stable Lévy process conditioned to stay positive. Under some additional assumptions,...
Quansheng Liu (1993)
Publications mathématiques et informatique de Rennes
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J. Holzheimer (1984)
Applicationes Mathematicae
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S. K. Srinivasan, K. S. S. Iyer (1965)
Applicationes Mathematicae
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Rahimov, I., Muttlak, H. (2004)
International Journal of Mathematics and Mathematical Sciences
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