Keywords: وابستگی طولانی مدت; G01; G14; Bitcoin; Long range dependence; Volatility; Hurst exponent;
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Keywords: وابستگی طولانی مدت; primary; 60G18; 60G15; Operator fractional Brownian field; Symmetry group; Anisotropy; Operator scaling; Operator self-similarity; Long range dependence;
Keywords: وابستگی طولانی مدت; C18; E39; G14; Long range dependence; Stock price returns; Power-law distributions;
Keywords: وابستگی طولانی مدت; 62G30; 62G20; 60F05Interquartile range; Long range dependence; Pairwise means; UU-statistics
Keywords: وابستگی طولانی مدت; Nozzle; Bubble; Bubble chain; Long range dependence; Path; Hurst exponent;
Keywords: وابستگی طولانی مدت; Empirical process; Stable distribution; Hermite polynomial; Goodness-of-fit; Kolmogorov-Smirnov; Long range dependence;
Keywords: وابستگی طولانی مدت; Wavelet fractional integration; Long range dependence; Stock return predictability;
Keywords: وابستگی طولانی مدت; 62G09; 62F40; 62M10Blocking; Frequency domain; GARCH; High dimensional data; Kullback–Leibler distance; Long range dependence; Mahalanobis distance; Markov chains; Spatial data; Tapering; Whittle estimation
Breaks or long range dependence in the energy futures volatility: Out-of-sample forecasting and VaR analysis
Keywords: وابستگی طولانی مدت; Long range dependence; Markov switching GARCH model; Fractional GARCH-class of models; Energy futures time series; Out-of-sample forecasting and VaR;
Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics
Keywords: وابستگی طولانی مدت; C1; Cyclical long memory; Kernel spectral estimator; Long range dependence; Spectral confidence bands;
Not all estimators are born equal: The empirical properties of some estimators of long memory
Keywords: وابستگی طولانی مدت; C13; C22Strong dependence; Global dependence; Long range dependence; Hurst parameter estimators
Salient features of dependence in daily US stock market indices
Keywords: وابستگی طولانی مدت; Long range dependence; Volatility; US stock market; Day of week effect
Performance evaluation and service rate provisioning for a queue with fractional Brownian input
Keywords: وابستگی طولانی مدت; Fractional Brownian motion; Long range dependence; Poisson Pareto Burst Process; Quality of service (QoS); Link capacity dimensioning
A fractional credit model with long range dependent default rate
Keywords: وابستگی طولانی مدت; primary; 60G12; 60G51; 60H10; 60H20; 91B70; secondary; 60G10; 60G99; 91B28; Credit risk; Defaultable bond; Default rate; Derivatives pricing; Fractional Brownian motion; Fractional Vasicek model; Hazard rate; Interest rate; Long range dependence; Macroeco
A Generalized Hyperbolic model for a risky asset with dependence
Keywords: وابستگی طولانی مدت; 60G10; 62P20; 91G20Generalized Hyperbolic; Generalized Inverse Gaussian; Ornstein–Uhlenbeck process; Subordinator model; Long range dependence
A wavelet based investigation of long memory in stock returns
Keywords: وابستگی طولانی مدت; Wavelet fractional integration; Long range dependence; Returns predictability;
Non-asymptotic end-to-end performance bounds for networks with long range dependent fBm cross traffic
Keywords: وابستگی طولانی مدت; Self-similarity; Long range dependence; Fractional Brownian motion; Stochastic service curve
Aggregation of isotropic autoregressive fields
Keywords: وابستگی طولانی مدت; Long memory; Aggregation; Random fields; Long range dependence;
Rates of convergence in the central limit theorem for linear statistics of martingale differences
Keywords: وابستگی طولانی مدت; 60 F 05; 60 G 10Minimal distances; Ideal distances; Gaussian approximation; Martingales; Linear processes; Long range dependence
Use and misuse of some Hurst parameter estimators applied to stationary and non-stationary financial time series
Keywords: وابستگی طولانی مدت; Hurst parameter; Long range dependence; Fractional Gaussian noise; Fractional Brownian motion; Energy market prices; Stock market prices; Anti-persistence
Moment bounds for non-linear functionals of the periodogram
Keywords: وابستگی طولانی مدت; Linear processes; Discrete Fourier transform; Periodogram; Long range dependence; Geweke and Porter-Hudak (GPH) estimator; Log-periodogram regression
Long strange segments, ruin probabilities and the effect of memory on moving average processes
Keywords: وابستگی طولانی مدت; primary, 60F10, 60F15; secondary, 60G10, 62M10Long strange segments; Ruin probability; Large deviations; Long range dependence; Long memory; Moving average; Linear processes
Long memory and long run variation
Keywords: وابستگی طولانی مدت; C22; C32; Asymptotic expansion; Autocovariance function; Fractional pole; Fourier integral; Generalized function; Long memory; Long range dependence; Singularity;
Analytical queue length distributions of GPS systems with long range dependent service capacity
Keywords: وابستگی طولانی مدت; Generalized Processor Sharing; Analytical modelling; Variable service capacity; Long Range Dependence; Short Range Dependence
Performance analysis of a Poisson–Pareto queue over the full range of system parameters
Keywords: وابستگی طولانی مدت; Large Deviations Theory; Long range dependence; Queueing theory; Pareto distribution; PPBP
Estimators of long-memory: Fourier versus wavelets
Keywords: وابستگی طولانی مدت; Wavelet analysis; Long range dependence; Semi-parametric estimation;
The effect of memory on functional large deviations of infinite moving average processes
Keywords: وابستگی طولانی مدت; primary, 60F10; secondary, 60G10, 62M10Large deviations; Long range dependence; Long memory; Moving average; Rate function; Speed function
Central limit theorems for arrays of decimated linear processes
Keywords: وابستگی طولانی مدت; primary, 62M10, 62M15, 62G05; secondary, 60G18Spectral analysis; Wavelet analysis; Long range dependence; Semiparametric estimation
Occupation time limits of inhomogeneous Poisson systems of independent particles
Keywords: وابستگی طولانی مدت; primary, 60F17; secondary, 60G18, 60G20Functional limit theorem; Inhomogeneous Poisson system; Occupation time; Long range dependence; Generalized Wiener process
Linear systems with fractional Brownian motion and Gaussian noise
Keywords: وابستگی طولانی مدت; Fractional Brownian motion; Linear random vibration; Long range dependence; Stochastic processes; Stochastic integrals;
Modelling algal blooms using vector autoregressive model with exogenous variables and long memory filter
Keywords: وابستگی طولانی مدت; Red-tide; Algal blooms; VARX modelling; Time series forecasting; Long range dependence; Early warning system;
On use of the alpha stable self-similar stochastic process to model aggregated VBR video traffic
Keywords: وابستگی طولانی مدت; network modeling; alpha stable self-similar process; aggregated VBR video traffic; long range dependence; variability; linear regression;
Lighter and faster simulations of high-speed IP networks
Keywords: وابستگی طولانی مدت; Light Weight Traffic Source; Scalable Simulation Methodology; Long Range Dependence
Prediction and tracking of long-range-dependent sequences
Keywords: وابستگی طولانی مدت; Fractional Gaussian noise; Long range dependence; Tracking problems;
The rescaled variance statistic and the determination of the Hurst exponent
Keywords: وابستگی طولانی مدت; Hurst exponent; Long range dependence; R/S; V/S;
Small-time scaling behavior of Internet backbone traffic
Keywords: وابستگی طولانی مدت; Traffic; Self-similarity; Scaling; Long range dependence; Internet; Backbone;
Long range dependence in network traffic and the closed loop behaviour of buffers under adaptive window control
Keywords: وابستگی طولانی مدت; TCP; Closed loop control; Long range dependence; Heavy tails;