Simulation methods for linear fractional stable motion and farima using the fast fourier transform
- Stilian A. Stoev, M. Taqqu
- Computer Science
- 1 March 2004
Efficient methods for simulation, using the Fast Fourier Transform (FFT) algorithm, of two classes of processes with symmetric α-stable (SαS) distributions of the linear fractional stable motion and the fractional autoregressive moving average time series with SαS innovations are presented.
How rich is the class of multifractional Brownian motions
- Stilian A. Stoev, M. Taqqu
- Mathematics
- 1 February 2006
Conditional sampling for spectrally discrete max-stable random fields
- Yizao Wang, Stilian A. Stoev
- MathematicsAdvances in Applied Probability
- 3 May 2010
Max-stable random fields play a central role in modeling extreme value phenomena. We obtain an explicit formula for the conditional probability in general max-linear models, which include a large…
Estimation of the self-similarity parameter in linear fractional stable motion
- Stilian A. Stoev, V. Pipiras, M. Taqqu
- MathematicsSignal Processing
- 1 December 2002
On the ergodicity and mixing of max-stable processes
- Stilian A. Stoev
- Mathematics
- 1 September 2008
On the wavelet spectrum diagnostic for Hurst parameter estimation in the analysis of Internet traffic
- Stilian A. Stoev, M. Taqqu, Cheolwoo Park, J. Marron
- Computer ScienceComput. Networks
- 21 June 2005
Extremal stochastic integrals: a parallel between max-stable processes and α-stable processes
- Stilian A. Stoev, M. Taqqu
- Mathematics, Computer Science
- 1 December 2005
It is proved that essentially any strictly α-stable process belongs to the domain of max-stable attraction of an $$\alpha-$$Fréchet, max- stable process.
Inference for dynamic and latent variable models via iterated, perturbed Bayes maps
- E. Ionides, D. Nguyen, Y. Atchadé, Stilian A. Stoev, A. King
- Computer Science, MathematicsProceedings of the National Academy of Sciences
- 7 January 2015
A new theoretical framework for iterated filtering is developed and an algorithm supported by this theory displays substantial numerical improvement on the computational challenge of inferring parameters of a partially observed Markov process.
On the structure and representations of max-stable processes
- Yizao Wang, Stilian A. Stoev
- MathematicsAdvances in Applied Probability
- 20 March 2009
We develop classification results for max-stable processes, based on their spectral representations. The structure of max-linear isometries and minimal spectral representations play important roles.…
Stochastic properties of the linear multifractional stable motion
- Stilian A. Stoev, M. Taqqu
- MathematicsAdvances in Applied Probability
- 1 December 2004
We study a family of locally self-similar stochastic processes Y = {Y(t)} t∈ℝ with α-stable distributions, called linear multifractional stable motions. They have infinite variance and may possess…
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