3 citations · 4 across the 2 of their papers we have counts for
4 papers
Market risk factors analysis for an international mining company. Multi-dimensional, heavy-tailed-based modelling
Łukasz Bielak, Aleksandra Grzesiek, Joanna Janczura +1
Mining companies to properly manage their operations and be ready to make business decisions, are required to analyze potential scenarios for main market risk factors. The most imp…
Asymptotic behavior of the cross-dependence measures for bidimensional AR(1) model with stable noise
Aleksandra Grzesiek, Agnieszka Wyłomańska
In this paper, we consider a bidimensional autoregressive model of order 1 with stable noise. Since in this case the classical measure of dependence known as the covariance fun…
Cross-codifference for bidimensional VAR(1) models with infinite variance
Aleksandra Grzesiek, Marek Teuerle, Agnieszka Wyłomańska
In this paper we consider the problem of a measure that allows us to describe the spatial and temporal dependence structure of multivariate time series with innovations having infi…
Optimal parameters for anomalous diffusion exponent estimation from noisy data
Yann Lanoiselée, Denis S. Grebenkov, Grzegorz Sikora +2
The most common way of estimating the anomalous diffusion exponent from single-particle trajectories consists in a linear fitting of the dependence of the time averaged mean square…