D. Taqqu: search on Z-Library

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1

Fractionally differenced ARIMA models applied to hydrologic time series: Identification, estimation, and simulation

Montanari, Alberto, Rosso, Renzo, Taqqu, Murad S.

Journal:

Water Resources Research

Year:

1997

Language:

english

File:

PDF, 1.13 MB

english, 1997

2

Can One Use the Durbin–Levinson Algorithm to Generate Infinite Variance Fractional ARIMA Time Series?

Piotr S. Kokoszka, Murad S. Taqqu

Journal:

Journal of Time Series Analysis

Year:

2001

Language:

english

File:

PDF, 246 KB

english, 2001

3

AN EXTREME VALUE THEORY APPROACH TO THE ALLOCATION OF MULTIPLE ASSETS

BRADLEY, BRENDAN O., TAQQU, MURAD S.

Journal:

International Journal of Theoretical and Applied Finance

Year:

2004

Language:

english

File:

PDF, 796 KB

english, 2004

4

ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY

TAQQU, MURAD S., TEVEROVSKY, VADIM, WILLINGER, WALTER

Journal:

Year:

1995

Language:

english

File:

PDF, 607 KB

english, 1995

5

Wavelets, generalized white noise and fractional integration: The synthesis of fractional Brownian motion

Yves Meyer, Fabrice Sellan, Murad S. Taqqu

Journal:

Journal of Fourier Analysis and Applications

Year:

1999

Language:

english

File:

PDF, 1.69 MB

english, 1999

6

Benoît Mandelbrot and Fractional Brownian Motion

Taqqu, Murad S.

Journal:

Statistical Science

Year:

2013

Language:

english

File:

PDF, 96 KB

english, 2013

7

[Bocconi & Springer Series] Wiener Chaos: Moments, Cumulants and Diagrams Volume 1 || Some facts about Charlier polynomials

Peccati, Giovanni, Taqqu, Murad S.

Year:

2011

Language:

english

File:

PDF, 140 KB

english, 2011

8

Stock market prices and long-range dependence

Walter Willinger, Murad S. Taqqu, Vadim Teverovsky

Journal:

Finance and Stochastics

Year:

1999

Language:

english

File:

PDF, 145 KB

english, 1999

9

Integration questions related to fractional Brownian motion

Vladas Pipiras, Murad S. Taqqu

Journal:

Probability Theory and Related Fields

Year:

2000

Language:

english

File:

PDF, 283 KB

english, 2000

10

Existence of joint moments of stable random variables

Gennady Samorodnitsky, Murad S. Taqqu

Journal:

Statistics & Probability Letters

Year:

1990

Language:

english

File:

PDF, 339 KB

english, 1990

11

SPIE Proceedings [SPIE SPIE LASE - San Francisco, California, United States (Saturday 7 February 2015)] Solid State Lasers XXIV: Technology and Devices - Thin-disk laser multi-pass amplifier

Clarkson, W. Andrew, Shori, Ramesh K., Schuhmann, K., Ahmed, M. A., Antognini, A., Graf, T., Hänsch, T. W., Kirch, K., Kottmann, F., Pohl, R., Taqqu, D., Voss, A., Weichelt, B.

Year:

2015

Language:

english

File:

PDF, 972 KB

english, 2015

12

Lessons from "on the self-similar nature of ethernet traffic"

Willinger, Walter, Taqqu, Murad S., Wilson, Daniel V.

Journal:

ACM SIGCOMM Computer Communication Review

Year:

2019

Language:

english

File:

PDF, 383 KB

english, 2019

13

Central limit theorems for quadratic forms in random variables having long-range dependence

Robert Fox, Murad S. Taqqu

Journal:

Probability Theory and Related Fields

Year:

1987

Language:

english

File:

PDF, 1.06 MB

english, 1987

14

On the self-similar nature of Ethernet traffic

Leland, Will E., Willinger, Walter, Taqqu, Murad S., Wilson, Daniel V.

Journal:

ACM SIGCOMM Computer Communication Review

Year:

1995

Language:

english

File:

PDF, 1.30 MB

english, 1995

15

Estimators of long-memory: Fourier versus wavelets

Gilles Faÿ, Eric Moulines, François Roueff, Murad S. Taqqu

Journal:

Journal of Econometrics

Year:

2009

Language:

english

File:

PDF, 4.40 MB

english, 2009

16

ON THE EFFICIENCY OF THE SAMPLE MEAN IN LONG-MEMORY NOISE

Alexander Samarov, Murad S. Taqqu

Journal:

Journal of Time Series Analysis

Year:

1988

Language:

english

File:

PDF, 428 KB

english, 1988

17

Asset allocation when guarding against catastrophic losses: a comparison between the structure variable and joint probability methods

Bradley, Brendan O, Taqqu, Murad S

Journal:

Quantitative Finance

Year:

2004

Language:

english

File:

PDF, 1.78 MB

english, 2004

18

Long-Range Dependence and Self-Similarity || Stochastic Integration with Respect to Fractional Brownian Motion

Pipiras, Vladas, Taqqu, Murad S.

Year:

2017

Language:

english

File:

PDF, 531 KB

english, 2017

19

Toward A Convergence Theory For Continuous Stochastic Securities Market Models

Walter Willinger, Murad S. Taqqu

Journal:

Mathematical Finance

Year:

1991

Language:

english

File:

PDF, 2.51 MB

english, 1991

20

[The IMA Volumes in Mathematics and its Applications] New Directions in Time Series Analysis Volume 46 ||

Brillinger, David, Caines, Peter, Geweke, John, Parzen, Emanuel, Rosenblatt, Murray, Taqqu, Murad S.

Year:

1993

Language:

english

File:

PDF, 48.74 MB

english, 1993

21

A Wavelet Whittle Estimator of the Memory Parameter of a Nonstationary Gaussian Time Series

E. Moulines, F. Roueff and M. S. Taqqu

Journal:

The Annals of Statistics

Year:

2008

Language:

english

File:

PDF, 2.20 MB

english, 2008

22

Whittle Estimator for Finite-Variance Non-Gaussian Time Series with Long Memory

Liudas Giraitis and Murad S. Taqqu

Journal:

The Annals of Statistics

Year:

1999

Language:

english

File:

PDF, 682 KB

english, 1999

23

Fractional Elliptic, Hyperbolic and Parabolic Random Fields

Leonenko, Nikolai, Ruiz-Medina, Maria D., Taqqu, Murad S.

Journal:

Electronic Journal of Probability

Year:

2011

Language:

english

File:

PDF, 320 KB

english, 2011

24

Convergence of integrated processes of arbitrary Hermite rank

Journal:

Probability Theory and Related Fields

Year:

1979

Language:

english

File:

PDF, 1.08 MB

english, 1979

25

Testing for long-range dependence in the presence of shifting means or a slowly declining trend, using a variance-type estimator

Vadim Teverovsky, Murad Taqqu

Journal:

Journal of Time Series Analysis

Year:

1997

Language:

english

File:

PDF, 534 KB

english, 1997

26

Stable Fractal Sums of Pulses: The Cylindrical Case

Renata Cioczek-Georges, Benoit B. Mandelbrot, Gennady Samorodnitsky and Murad S. Taqqu

Journal:

Year:

1995

Language:

english

File:

PDF, 1.63 MB

english, 1995

27

Limit theorems for quadratic forms of Lévy-driven continuous-time linear processes

Bai, Shuyang, Ginovyan, Mamikon S., Taqqu, Murad S.

Journal:

Stochastic Processes and their Applications

Year:

2016

Language:

english

File:

PDF, 320 KB

english, 2016

28

Stochastic properties of the linear multifractional stable motion

Stoev, Stilian, Taqqu, Murad S.

Journal:

Advances in Applied Probability

Year:

2004

Language:

english

File:

PDF, 291 KB

english, 2004

29

Noncentral Limit Theorems for Quadratic Forms in Random Variables Having Long-Range Dependence

Fox, Robert, Taqqu, Murad S.

Journal:

The Annals of Probability

Year:

1985

File:

PDF, 1.15 MB

1985

30

Properties and numerical evaluation of the Rosenblatt distribution

Veillette, Mark S., Taqqu, Murad S.

Journal:

Year:

2013

Language:

english

File:

PDF, 251 KB

english, 2013

31

Central Limit Theorems for Quadratic Forms with Time-Domain Conditions

Liudas Giraitis and Murad S. Taqqu

Journal:

The Annals of Probability

Year:

1998

Language:

english

File:

PDF, 1.22 MB

english, 1998

32

Large-Sample Properties of Parameter Estimates for Strongly Dependent Stationary Gaussian Time Series

Fox, Robert, Taqqu, Murad S.

Journal:

The Annals of Statistics

Year:

1986

File:

PDF, 1.01 MB

1986

33

A survey of functional laws of the iterated logarithm for self-similar processes

Taqqu, Murad S., Czado, Claudia

Journal:

Communications in Statistics Stochastic Models

Year:

1985

Language:

english

File:

PDF, 995 KB

english, 1985

34

Note on evaluations of R/S for fractional noises and geophysical records

Journal:

Water Resources Research

Year:

1970

Language:

english

File:

PDF, 78 KB

english, 1970

35

Estimating long-range dependence in the presence of periodicity: An empirical study

A. Montanari, M.S. Taqqu, V. Teverovsky

Journal:

Mathematical and Computer Modelling

Year:

1999

Language:

english

File:

PDF, 881 KB

english, 1999

36

357 - Behavioral dissociation of working memory and selective attention functions in schizophrenia

Aysenil Belger, Yael Taqqu, John H. Krystal

Journal:

Schizophrenia Research

Year:

1997

Language:

english

File:

PDF, 214 KB

english, 1997

37

Maximum penalized quasi-likelihood estimation of the diffusion function

Hamrick, Jeff, Huang, Yifei, Kardaras, Constantinos, Taqqu, Murad S.

Journal:

Quantitative Finance

Year:

2011

Language:

english

File:

PDF, 396 KB

english, 2011

38

A TECHNIQUE FOR COMPUTING THE PDFS AND CDFS OF NONNEGATIVE INFINITELY DIVISIBLE RANDOM VARIABLES

MARK S. VEILLETTE and MURAD S. TAQQU

Journal:

Journal of Applied Probability

Year:

2011

Language:

english

File:

PDF, 1.66 MB

english, 2011

39

A driftless gas proportional scintillation counter for muonic hydrogen X-ray spectroscopy under strong magnetic fields

J.F.C.A. Veloso, J.M.F. dos Santos, C.A.N. Conde, F. Mulhauser, P. Knowles, C. Donche-Gay, O. Huot, D. Taqqu, F. Kottmann

Journal:

Nuclear Instruments and Methods in Physics Research Section A: Accelerators, Spectrometers, Detectors and Associated Equipment

Year:

2001

Language:

english

File:

PDF, 377 KB

english, 2001

40

A seasonal fractional ARIMA Model applied to the Nile River monthly flows at Aswan

Montanari, Alberto, Rosso, Renzo, Taqqu, Murad S.

Journal:

Water Resources Research

Year:

2000

Language:

english

File:

PDF, 1.29 MB

english, 2000

41

Noncentral Limit Theorems and Appell Polynomials

Florin Avram and Murad S. Taqqu

Journal:

The Annals of Probability

Year:

1987

Language:

english

File:

PDF, 564 KB

english, 1987

42

Thin-disk laser pump schemes for large number of passes and moderate pump source quality

Schuhmann, Karsten, Hänsch, Theodor W., Kirch, Klaus, Knecht, Andreas, Kottmann, Franz, Nez, Francois, Pohl, Randolf, Taqqu, David, Antognini, Aldo

Journal:

Year:

2015

Language:

english

File:

PDF, 1.16 MB

english, 2015

43

Bachelier and his times: A conversation with Bernard Bru

Journal:

Finance and Stochastics

Year:

2001

Language:

english

File:

PDF, 151 KB

english, 2001

44

On the self-similar nature of Ethernet traffic (extended version)

Leland, W.E., Taqqu, M.S., Willinger, W., Wilson, D.V.

Journal:

IEEE/ACM Transactions on Networking

Year:

1994

Language:

english

File:

PDF, 1.67 MB

english, 1994

45

Central and Non-central Limit Theorems in a Free Probability Setting

Ivan Nourdin, Murad S. Taqqu

Journal:

Journal of Theoretical Probability

Year:

2014

Language:

english

File:

PDF, 926 KB

english, 2014

46

Option Pricing in ARCH-type Models

Jan Kallsen, Murad S. Taqqu

Journal:

Mathematical Finance

Year:

1998

Language:

english

File:

PDF, 132 KB

english, 1998

47

Is Network Traffic Self-Similar or Multifractal?

Taqqu, Murad S., Teverovsky, Vadim, Willinger, Walter

Journal:

Year:

1997

Language:

english

File:

PDF, 1.13 MB

english, 1997

48

How the Instability of Ranks Under Long Memory Affects Large-Sample Inference

Bai, Shuyang, Taqqu, Murad S.

Journal:

Statistical Science

Year:

2018

Language:

english

File:

PDF, 402 KB

english, 2018

49

Wick–Itô formula for regular processes and applications to the Black and Scholes formula

Nualart, David, Taqqu, Murad S.

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

2008

Language:

english

File:

PDF, 161 KB

english, 2008

50

Non-central limit theorems for random fields subordinated to gamma-correlated random fields

Leonenko, Nikolai, Ruiz-Medina, M. Dolores, Taqqu, Murad S.

Journal:

Year:

2017

Language:

english

File:

PDF, 346 KB

english, 2017

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