30 citations · 40 across the 3 of their papers we have counts for
3 papers
physics.data-an2006★ 6 cited
The dependence structure for PARMA models with alpha-stable innovations
Joanna Nowicka-Zagrajek, Agnieszka Wylomanska
In this paper we investigate the dependence structure for PARMA models (i.e. ARMA models with periodic coefficients) with symmetric alpha-stable innovations. In this case the covar…
cond-mat.stat-mech2001★ 4 cited
Modeling electricity loads in California: ARMA models with hyperbolic noise
J. Nowicka-Zagrajek, R. Weron
In this paper we address the issue of modeling electricity loads. After analyzing properties of the deseasonalized loads from the California power market we fit an ARMA(1,6) model…
cond-mat2001★ 30 cited
Modeling electricity loads in California: a continuous-time approach
Rafal Weron, B. Kozlowska, J. Nowicka-Zagrajek
In this paper we address the issue of modeling electricity loads and prices with diffusion processes. More specifically, we study models which belong to the class of generalized Or…