- 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
- Finance Letters, 2004, 2 (6), 8-15 ISSN 1740-6242 2004 Global EcoFinanceTM All rights reserved. 8
- Finance Letters, 2005, 3 (1), 64-76 ISSN 1740-6242 2005 Global EcoFinanceTM All rights reserved. 64
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- 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