Conditional Moments of Noncausal Alpha-Stable Processes and the Prediction of Bubble Crash Odds

Journal of Business and Economic Statistics ◽

10.1080/07350015.2021.1953508 ◽

2021 ◽

pp. 1-37

Author(s):

Sébastien Fries

Keyword(s):

Stable Processes ◽

Conditional Moments ◽

Alpha Stable Processes

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Exponential growth of the numbers of particles for branching symmetric $\alpha$ -stable processes

Journal of the Mathematical Society of Japan ◽

10.2969/jmsj/06010075 ◽

2008 ◽

Vol 60 (1) ◽

pp. 75-116 ◽

Cited By ~ 9

Author(s):

Yuichi SHIOZAWA

Keyword(s):

Exponential Growth ◽

Stable Processes ◽

Alpha Stable Processes

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A new prediction method of alpha-stable processes for self-similar traffic

IEEE Global Telecommunications Conference, 2004. GLOBECOM '04. ◽

10.1109/glocom.2004.1378047 ◽

2005 ◽

Cited By ~ 2

Author(s):

Ge Xiaohu ◽

Shaokai Yu ◽

Won-Sik Yoon ◽

Yong-Deak Kim

Keyword(s):

Prediction Method ◽

Stable Processes ◽

Self Similar ◽

Alpha Stable Processes

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On some parameter estimation problems in alpha-stable processes

1997 IEEE International Conference on Acoustics, Speech, and Signal Processing ◽

10.1109/icassp.1997.604630 ◽

2002 ◽

Cited By ~ 5

Author(s):

A. Swami

Keyword(s):

Parameter Estimation ◽

Stable Processes ◽

Estimation Problems ◽

Alpha Stable Processes

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Differentiability of spectral functions for symmetric $\alpha$-stable processes

Transactions of the American Mathematical Society ◽

10.1090/s0002-9947-07-04149-9 ◽

2007 ◽

Vol 359 (08) ◽

pp. 4031-4054 ◽

Cited By ~ 13

Author(s):

Masayoshi Takeda ◽

Kaneharu Tsuchida

Keyword(s):

Stable Processes ◽

Spectral Functions ◽

Alpha Stable Processes

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A novel adaptive lattice filtering algorithm for alpha-stable processes

Digital Signal Processing ◽

10.1016/j.dsp.2008.03.002 ◽

2008 ◽

Vol 18 (6) ◽

pp. 977-984

Author(s):

Zhijin Zhao ◽

Junna Shang ◽

Kehai Dong

Keyword(s):

Stable Processes ◽

Filtering Algorithm ◽

Alpha Stable Processes

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Wavelet based estimator for the self-similarity parameter of /spl alpha/-stable processes

1999 IEEE International Conference on Acoustics, Speech, and Signal Processing. Proceedings. ICASSP99 (Cat. No.99CH36258) ◽

10.1109/icassp.1999.756328 ◽

1999 ◽

Cited By ~ 3

Author(s):

P. Abry ◽

L. Delbeke ◽

P. Flandrin

Keyword(s):

The Self ◽

Stable Processes ◽

Self Similarity ◽

Similarity Parameter ◽

Alpha Stable Processes

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Least L/sub p/-norm estimation of autoregressive model coefficients of symmetric /spl alpha/-stable processes

IEEE Signal Processing Letters ◽

10.1109/97.596886 ◽

1997 ◽

Vol 4 (7) ◽

pp. 201-203 ◽

Cited By ~ 16

Author(s):

E.E. Kuruoglu ◽

P.J.W. Rayner ◽

W.J. Fitzgerald

Keyword(s):

Autoregressive Model ◽

Stable Processes ◽

Alpha Stable Processes

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Maxima of long memory stationary symmetric $\alpha$-stable processes, and self-similar processes with stationary max-increments

Bernoulli ◽

10.3150/14-bej614 ◽

2015 ◽

Vol 21 (3) ◽

pp. 1575-1599 ◽

Cited By ~ 4

Author(s):

Takashi Owada ◽

Gennady Samorodnitsky

Keyword(s):

Long Memory ◽

Stable Processes ◽

Self Similar ◽

Alpha Stable Processes

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Stochastic differential equations with Sobolev drifts and driven by $\alpha$-stable processes

Annales de l Institut Henri Poincaré Probabilités et Statistiques ◽

10.1214/12-aihp476 ◽

2013 ◽

Vol 49 (4) ◽

pp. 1057-1079 ◽

Cited By ~ 14

Author(s):

Xicheng Zhang

Keyword(s):

Differential Equations ◽

Stochastic Differential Equations ◽

Stable Processes ◽

Alpha Stable Processes

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Parameter estimation for linear alpha-stable processes

IEEE Signal Processing Letters ◽

10.1109/97.659549 ◽

1998 ◽

Vol 5 (2) ◽

pp. 48-50 ◽

Cited By ~ 21

Author(s):

A. Swami ◽

B. Sadler

Keyword(s):

Parameter Estimation ◽

Stable Processes ◽

Alpha Stable Processes

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