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
- Statistical inference for ARTFIMA time series with stable innovations (joint work with Jinu Kabala and Krzysztof Burnecki)
- HP and BHP Filters for stochastic processes with long-range dependence (joint with Eva Biswas)
- Data-driven parameter selection for tempered long-range dependence (joint with Kris De Brabanter)
- Inference for nearly nonstationary processes under semi-long memory with infinite variance
Recent Talks
- How does tempering affect the local and global properties of fractional Brownian motion? (Talk_ISU_Mathematics_2021_0.pdf)
- Stochastic processes with semi-long range dependence (slides)
- Nonparametric Regression Under Semi-Long Range Dependence (slides)
- What is Fractional Calculus? (slides)
Journal papers and preprints
- Sabzikar, F., Kokoszka, P. (2023). Tempered functional time series. Journal of Time Series Analysis, Vol. 44, 280-293.
- Sabzikar, F., Kabala, J., Burnecki, K. (2022). Tempered fractionally integrated process with stable noise as a transient anomalous diffusion model. Journal of Physics A: Mathematical and Theoretical, Vol. 55, 174002. link
- Kabalaa, S. J., Burnecki, K., Sabzikar, F. (2021). Tempered linear and non-linear time series models and their application to heavy-tailed solar flare data, Chaos: An Interdisciplinary Journal of Nonlinear Science, Vol. 31, 113124. link
- De Brabanter, K., Sabzikar, F. (2021), Asymptotic theory for regression models with fractional local to unity root errors, Metrika, Vol. 84, 997-1024.link
- Boniece, B. C., Didier, G., Sabzikar, F. (2021), Tempered fractional Brownian motion: wavelet estimation, modeling and testing, Applied and Computational Harmonic Analysis, Vol. 51, 461-509. link
- Didier, G., Kanamori, S., Sabzikar, F. (2021), On multivariate fractional random fields: tempering and operator-stable laws, Journal of Mathematical Analysis and Applications, Vol. 495(1), 124659. link
- Azmoodeh, E., Mishura, Y., Sabzikar, F. (2021), How does tempering affect the local and global properties of fractional Brownian motion? Journal of Theoretical probability, Vol. 35, 484-527. link
- Anderson, P. Meerschaert, M. M., Sabzikar, F. (2021), Parsimonious time series modeling for high-frequency climate data, Journal of Time Series Analysis, Vol. 42, 442-470. link
- Beran, J., Sabzikar, F., Surgailis, D., Telkmann, K. (2020), On the empirical process of tempered moving averages, Statistics and Probability letters, Vol. 167, 1-10. link
- 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
- 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
- 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
- Sabzikar, F., Surgailis, D. (2018), Invariance Principles for Tempered Fractionally Integrated Processes, Stochastic Processes and their Applications, Vol. 128, 3419–3438. link
- Sabzikar, F., Surgailis, D. (2018), Tempered fractional Brownian and stable motions of second kind, Statistics and Probability Letters, Vol. 132, 17–27. link
- Meerschaert, M. M., Sabzikar, F. (2016), Tempered fractional stable motion, Journal of Theoretical Probability, Vol. 29, 681–706. link
- Sabzikar F. (2015), Tempered Hermite Process, Modern Stochastics: Theory and Applications, Vol 2, 327–341. link
- 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
- 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
- Meerschaert, M. M., Sabzikar, F. (2014), Stochastic integration for tempered fractional Brownian motion, Stochastic Processes and their Applications, Vol. 124, 2363–2387. link
- Meerschaert, M. M., Sabzikar, F. (2013), Tempered fractional Brownian motion, Statistics and Probability Letters, Vol. 83, 2269–2275. link