Taqqu, Murad - Department of Mathematics and Statistics, Boston University

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Taqqu, Murad - Department of Mathematics and Statistics, Boston University

Preprint 1996. Appears on pages 325 in the book: "A Practical Guide To Heavy
Preprint 1996. To appear in the journal "Fracrals". Is network traffic selfsimilar or multifractal? \Lambda
To appear in the journal "Fractals" in Simulation methods for linear fractional stable motion and
To appear in the ANNALS OF PROBABILITY, 2002 The structure of selfsimilar stable mixed moving averages #+#
To appear in "Probability Theory andtheir7 70000 Integration questions related to fractional Brownian motion \Lambdayz
To Appear in the in 2002 in the volume ``Heavy-tailed distributions in Finance'', Svetlozar T. Rachev, editor, North Holland
1 Variance of Residuals Method The Variance of Residuals method was introduced by Peng et al. [1]. First the series
1 Local Whittle Method Unlike the Whittle estimator, the local Whittle estimator is a semiparametric esti
"Probability Theory and Related Fields" Vol. 107 (1997) 359381 LIMIT THEOREMS FOR BIVARIATE APPELL POLYNOMIALS
"The Annals of Statistics", Vol. 24 (1996) 18801913. Parameter Estimation for Infinite Variance Fractional ARIMA \Lambdayz
Appeared in "Fractals", Vol 3, No. 4 (1995) 785788. Copyright World Scientific Estimators for longrange dependence: an
To appear in Journal of Statistical Planning and Inference A critical look at Lo's modified R/S statistic \Lambdayz
IEEE/ACM Transactions on Networking, Vol. 5, No.1,3772 7186.
First appeared in FINANCE AND STOCHASTICS (2001) Appears in the book MATHEMATICAL FINANCE
To Appear in BERNOULLI, 2002 Are classes of deterministic integrands for fractional
Preprint 1996. Appears on pages 2753 in the book: "A Practical Guide To Heavy
To Appear in the in 2002 in the volume ``Heavytailed distributions in Finance'', Svetlozar
To appear in Journal of Statistical Planning and Inference Convergence of normalized quadratic forms \Lambday
Financial Risk Analysis and Heavy Tails 1 Historical Discussion of Risk and Return
1 Whittle Method The Whittle estimator is the value of the vector j which minimizes the function
"Athens Conference onApplied70000 70 and Time Series Analysis. Volume
"Stochastic Processes and TheirApplications" Vol. 66 (1997) 2140
Stochastic Processes and Related Topics: In memory of Stamatis Cambanis 19431995
First appeared in FINANCE AND STOCHASTICS (2001) Appears in the book MATHEMATICAL FINANCE --BACHELIER CONGRESS 2000
Decomposition of self-similar stable mixed moving averages Vladas Pipiras and Murad S. Taqqu
Convergence to fractional Brownian motion and to the Telecom process: the integral representation ap-
"Computer Communication Review" 27 (1997) 523. Proof of a Fundamental Result
1 Absolute Moments Method Consider the aggregated series (1.1), obtained by dividing a given series (assumed
Financial Risk Analysis and Heavy Tails 1 Historical Discussion of Risk and Return
1 R/S Method This is one of the better known methods. It is discussed in detail in Mandelbrot
CENTRAL LIMIT THEOREMS FOR QUADRATIC FORMS WITH TIME DOMAIN CONDITIONS \Lambdayz
1 Periodogram Method The periodogram is defined as
This is page 1 Printer: Opaque this
We present here the fractional ARIMA (FARIMA) time series. These are linear processes of the c i\Gammaj ffl j ; (0.1)
To appear in the ANNALS OF PROBABILITY, 2002 The structure of self-similar stable mixed moving averages
Appears in the Scandinavian Journal of Statistics, 29 (2002) 273295 The modeling of Ethernet data and of signals
Preprint 1996. Appears on pages 177217 in the book: "A Practical Guide To Heavy
1 The Time Series We describe here fractional Gaussian noise (FGN) a type of time series that we use
A Practical Guide to Heavy Tails: Statistical Techniques and Applications
1 Aggregated Variance Method Consider the aggregated series (1.1), obtained by dividing a given series of length N
To Appear in the JOURNAL OF TIME SERIES ANALYSIS, 2002 Deconvolution of fractional Brownian motion yz
A Practical Guide to Heavy Tails: Statistical Techniques and Applications
Dependence in Probability and Statistics: A Survey of Recent Results
Appeared in "The Annals of Applied Probability", 1 (1991) 582612 Nonlinear regression of stable random
"To appear in "Stochastic Models" in 1997 Robustness of Whittletype
Decomposition of selfsimilar stable mixed moving averages #+# Vladas Pipiras and Murad S. Taqqu
1 Estimator The ratio estimator is based on the Variance of Residuals method for estimating
In "Stochastic Networks: Theory and Applications", pages 339366 F. P. Kelly, S. Zachary and I.
I. Probability Taqqu Fractional Brownian Motion and Long-Range