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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

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

12

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

13

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

14

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

15

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

16

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

17

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

18

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

19

[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

20

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

21

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

22

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

23

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

24

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

25

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

26

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

27

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

28

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

29

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

30

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

31

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

32

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

33

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

34

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

35

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

36

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

37

Bachelier and his times: A conversation with Bernard Bru

Journal:

Finance and Stochastics

Year:

2001

Language:

english

File:

PDF, 151 KB

english, 2001

38

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

39

Option Pricing in ARCH-type Models

Jan Kallsen, Murad S. Taqqu

Journal:

Mathematical Finance

Year:

1998

Language:

english

File:

PDF, 132 KB

english, 1998

40

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

41

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

42

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

43

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

44

Nonlinear Regression of Stable Random Variables

Clyde D. Hardin Jr, Gennady Samorodnitsky and Murad S. Taqqu

Journal:

The Annals of Applied Probability

Year:

1991

Language:

english

File:

PDF, 2.09 MB

english, 1991

45

Almost sure central limit theorems on the Wiener space

Bernard Bercu, Ivan Nourdin, Murad S. Taqqu

Journal:

Stochastic Processes and their Applications

Year:

2010

Language:

english

File:

PDF, 423 KB

english, 2010

46

Weak convergence to fractional brownian motion and to the rosenblatt process

Journal:

Probability Theory and Related Fields

Year:

1975

Language:

english

File:

PDF, 700 KB

english, 1975

47

Self-Similarity in High-Speed Packet Traffic: Analysis and Modeling of Ethernet Traffic Measurements

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

Journal:

Statistical Science

Year:

1995

Language:

english

File:

PDF, 2.45 MB

english, 1995

48

Regularization and integral representations of Hermite processes

Vladas Pipiras, Murad S. Taqqu

Journal:

Statistics & Probability Letters

Year:

2010

Language:

english

File:

PDF, 264 KB

english, 2010

49

Limit theorems for bivariate Appell polynomials. Part I: Central limit theorems

Liudas Giraitis, Murad S. Taqqu

Journal:

Probability Theory and Related Fields

Year:

1997

Language:

english

File:

PDF, 264 KB

english, 1997

50

LASS: a tool for the local analysis of self-similarity

Stilian Stoev, Murad S. Taqqu, Cheolwoo Park, George Michailidis, J.S. Marron

Journal:

Computational Statistics & Data Analysis

Year:

2006

Language:

english

File:

PDF, 444 KB

english, 2006

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