Results 11 to 20 of about 36 (36)

Graph-directed random fractal interpolation function [PDF]

, 2021
Barnsley introduced in [1] the notion of fractal interpolation function (FIF). He said that a fractal function is a (FIF) if it possess some interpolation properties.
SOÓS, Anna, SOMOGYI, Ildikó
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Estimation in models driven by fractional brownian motion [PDF]

, 2008
Classification: 60F05; 60G15; 60G18; 60H10; 62F03; 62F12; 33C45International audienceLet $\{b_{H}(t), t\in \mathbb R\}$ be the fractionalBrownian motion with parameter $0 In different particular models where $\sigma(x)=\sigma$ or $\sigma(x)=\sigma \, x ...
Berzin, Corinne, León, José R., Leon, Jose,   +2 more
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Estimating the Hurst Parameter

, 2007
60F05, 60G15, 60G18, 62F12, 33C45, central limit theorem, estimation, fractional Brownian motion, Gaussian processes, Hermite polynomials,
Corinne Berzin, Berzin, Corinne, León, José R., José León   +3 more
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Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion [PDF]

ARCH, Times series, Fractional Brownian motion, Maximum likelihood estimator, Long memory, Whittle estimator, Moving average, Primary 62M09, Secondary 60G18, 62M10, 91B84,
Michael Levine, Frederi Viens, Soledad Torres   +2 more
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Weak Convergence to the Tangent Process of the Linear Multifractional Stable Motion [PDF]

, 2005
2000 Mathematics Subject Classification: 60G18, 60E07We also show that one can have degenerate tangent processes Z(t), when the function H(t) is not sufficiently regular. The LMSM process is closely related to the Gaussian multifractional Brownian motion
Stoev, Stilian, Taqqu, Murad S., S. Taqqu, Murad   +2 more
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(G, λ)-Extremal Processes and Their Relationship with Max-Stable Processes [PDF]

, 2007
2000 Mathematics Subject Classification: 60G70, 60G18.The study of G-extremal processes was initiated by S. Resnick and M. Rubinovich (1973). Here we transform these processes by a non-decreasing and right-continuous function λ : [0, ∞) → [0, ∞) and ...
Kalcheva Jordanova, Pavlina
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Fractional Wiener chaos: Part 1 [PDF]

Mathematics Subject Classification: 26A33 · 42B10 · 60H25 · 60G18 · 60G44 · 60H05 · 33C45 · 60J05 · 60h35In this paper, we introduce a fractional analogue of the Wiener polynomial chaos expansion.
Boguslavskaya, E, Boguslavskaya, E., Shishkina, E, Shishkina, E.   +3 more
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The Hausdorff dimension of the level sets of stable processes in random scenery. Acta

, 1999
Let X(t) (t ∈ R+) be a stable process in a random scenery. The Hausdorff dimension of certain level sets is determined and the existence of the local time of X(t) is proved. AMS Subject Classification (1991): 60G17, 60G18.
Yimin Xiao, Xiao Yimin
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Fractal stochastic processes

, 2020
In this paper we construct fractal stochastic processes as fixed point for a scaling law. Using probabilistic metric spaces techniques, we can weak the first moment condition for existence and uniqueness of fractal processes.
Anna Soós
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Large Deviations of Inverse Processes with Nonlinear Scalings

, 1998
We show, under regularity conditions, that a nonnegative nondecreasing real-valued stochastic process satisfies a large deviation principle (LDP) with nonlinear scaling if and only if its inverse process does. We also determine how the associated scaling
W. Whitt, N. G. Duffield
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