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Stochastic Processes

New classes of stochastic processes with Student distributions and various types of dependence structure have been introduced and studied. A particular motivation is the modelling of risk assets with strong dependence through fractal activity time.

The asymptotic theory of estimation of parameters of stochastic processes and random fields has been developed using higher-order information (that is, information on the higher-order cumulant spectra). This theory allows analysis of non-linear and non-Gaussian models with both short- and long-range dependence.