Stable Non-Gaussian Random Processes : Stochastic Models with Infinite Variance

By Gennady Samorodnitsky, Murad S. Taqqu. 1995

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Citations in the corpus

Chapter 2 Jump-Diffusion Models for Asset Pricing in Financial Engineering (2007, methodology): “These models replace the normal distribution assumption by some other distributions; see, for example, Barndorff-Nielsen and Shephard (2001), Samorodnitsky and Taqqu (1994), Blattberg and Gonedes (1974).”
Bayesian likelihood methods for estimating the end point of a distribution (2005, background): “See, for example, Hall (1978b), Chow and Teugels (1979), Anderson and Turkman (1991), Samorodnitsky and Taqqu (1994) and Resnick (1986, 1987).”
The extremogram: a correlogram for extreme events (2009, background): “For the definition of α-stable integrals of type (2.6), we refer to Samorodnitsky and Taqqu [37].”
Random Fractals and Markov Processes (2005, background): “…of the equation X(t) = x− ∫ t 0 QX(s)ds + Z(t), which can be expressed as X(t) = e−tQx + ∫ t 0 e(s−t)QdZ(s), where the stochastic integral with respect to the Lévy process Z is defined by convergence in probability from integrals of simple functions; see e.g., Samorodnitsky and Taqqu (1994).”
A Spatio-Temporal Analysis Approach for Short-Term Forecast of Wind Farm Generation (2014, background): “Hence, the probability distribution of the wind farm’s aggregate power output cannot be characterized using the classic CLT; and it may not even be governed by stable laws [21].”
A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models (2005, background): “Multivariate stable distributions (see Samorodnitsky and Taqqu 1994) also allow for fat tails and asymmetries with respect to the Gaussian density.”
Time and space nonlocalities underlying fractional-derivative models: Distinction and literature review of field applications (2009, background): “3b), due to the property of the corresponding c-stable density [126] defined for the waiting times.”
Local times of additive Lévy processes (2003, unknown): “See, for example, Samorodnitsky and Taqqu (1994, p. 73) .”
Sample path properties of bifractional Brownian motion (2006, background): “In fact, fractional Brownian motion is the only Gaussian self-similar process with stationary increments (see Samorodnitsky and Taqqu [38]).”