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Research

Research Interests

Stochastic processes with long-range dependence, Tempered fractional processes, Functional limit theorems, Empirical processes, Functional time series, Asymptotic theory for parametric and nonparametric regression models, Fractional calculus.

Working Papers

  1. Tempered ARTIMA-GARCH processes and their application to solar are data (joint with Jinu Susan Kabalaa, Krzysztof Burnecki)
  2. HP and BHP Filters for stochastic processes with long-range dependence (joint with Eva Biswas)
  3. Data-driven parameter selection for tempered long-range dependence (joint with Kris De Brabanter)
  4. Inference for nearly nonstationary processes under semi-long memory with infinite variance

Recent Talks

  1. Stochastic processes with semi-long range dependence (slides)
  2. Nonparametric Regression Under Semi-Long Range Dependence (slides)
  3. What is Fractional Calculus? (slides)

Journal papers and preprints

  1. Kabala, J., Sabzikar, F. (2020), Statistical inference for ARTFIMA time series with stable innovations, Under review.
  2. De Brabanter, K., Sabzikar, F. (2021), Asymptotic theory for regression models with fractional local to unity root errors, Metrika, https://doi.org/10.1007/s00184-021-00812-7. link 
  3. Anderson, P. Meerschaert, M. M., Sabzikar, F. (2021), Parsimonious time series modeling for high-frequency climate data, Journal of Time Series Analysis, to appear, pp. 1-28. link
  4. Azmoodeh, E., Mishura, Y., Sabzikar, F. (2021), How does tempering affect the local and global properties of fractional Brownian motion? Journal of Theoretical probability, to appear. pp. 1-36.  link
  5. Beran, J., Sabzikar, F., Surgailis, D., Telkmann, K. (2020), On the empirical process of tempered moving averages, Statistics and Probability lettershttp://doi.org/10.1016/j.spl.2020.108902. link   
  6. Didier, G., Kanamori, S., Sabzikar, F. (2020), On multivariate fractional random fields: tempering and operator-stable laws, Journal of Mathematical Analysis and Applications, doi.org/10.1016/j.jmaa.2020.124659. link
  7. Boniece, B. C., Didier, G., Sabzikar, F. (2020), On fractional Lévy processes: tempering, sample path properties and stochastic integration, Journal of Statistical Physics, Vol. 178, 954–985. link
  8. Sabzikar, F., Phillips, P. C. B., Wang, Q. (2020), Asymptotic theory for near integrated processes driven by tempered linear processes, Journal of Econometrics, Vol. 216, 192–202. link
  9. Boniece, B. C., Didier, G., Sabzikar, F. (2019), Tempered fractional Brownian motion: wavelet estimation, modeling and testing, Applied and Computational Harmonic Analysis, doi.org/10.1016/j.acha.2019.11.004. link
  10. Sabzikar, F., McLeod, A. I. and Meerschaert, M. M. (2019), Parameter estimation for ARTFIMA time series, Journal of Statistical Planning and Inference, Vol. 200, 129–145. link 
  11. Sabzikar, F., Surgailis, D. (2018), Invariance Principles for Tempered Fractionally Integrated Processes, Stochastic Processes and their Applications, Vol. 128, 3419–3438. link 
  12. Sabzikar, F., Surgailis, D. (2018), Tempered fractional Brownian and stable motions of second kind, Statistics and Probability Letters, Vol. 132, 17–27. link 
  13. Meerschaert, M. M., Sabzikar, F. (2016), Tempered fractional stable motion, Journal of Theoretical Probability, Vol. 29, 681–706. link 
  14. Sabzikar F. (2015), Tempered Hermite Process, Modern Stochastics: Theory and Applications, Vol 2, 327–341. link
  15. Sabzikar, F., Meerschaert, M. M., Jinghua Chen, J. (2015), Tempered Fractional Calculus, Journal of Computational Physics, Vol. 293, 14 28, Special Issue on Fractional Partial Differential Equations. link
  16. Meerschaert, M. M., Sabzikar, F., Phanikumar, M. S., Zeleke, A. (2014), Tempered fractional time series model for turbulence in geophysical flows, Journal of Statistical Mechanics: Theory and Experiment, p. P09023. link
  17. Meerschaert, M. M., Sabzikar, F. (2014), Stochastic integration for tempered fractional Brownian motion, Stochastic Processes and their Applications, Vol. 124, 2363–2387. link
  18. Meerschaert, M. M., Sabzikar, F. (2013), Tempered fractional Brownian motion, Statistics and Probability Letters, Vol. 83, 2269–2275. link