Temporal scaling and infinite variance are two stylized features often seen together in times series of complex systems. We find that because of their infinite moments samples from fractional Lévy flights produce bi-linear scaling functions which may be incorrectly attributed as evidence of...

Until now, solved examples of the application of stochastic control to actuarial problems could only be found in journals. Not any more: this is the first book to systematically present these methods in one volume.

Difficult derivations of estimating functions via maximum likelihood methods can be often avoided and the results obtained under more general conditions using quasi-likelihood methods. In this note we illustrate the principle via the derivation of the restricted (or residual) (REML) estimating...

In this paper we establish central limit theorems for the smoothed unbiased periodogram [integral operator][pi]-[pi]...[integral operator][pi]-[pi]g([omega],[theta]){I*T,X([omega])-EI*T,X([omega])}d[omega]1...d[omega]r, where {Xt} is a stationary r-dimensional random process or random field,...