70 citations · 195 across the 8 of their papers we have counts for
9 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…
Modified cumulative distribution function in application to waiting time analysis in CTRW scenario
Rafał Połoczański, Agnieszka Wyłomańska, Janusz Gajda +2
The continuous time random walk model plays an important role in modeling of so called anomalous diffusion behaviour. One of the specific property of such model are constant time p…
Codifference as a practical tool to measure interdependence
Agnieszka Wyłomańska, Aleksei Chechkin, Janusz Gajda +1
Correlation and spectral analysis represent the standard tools to study interdependence in statistical data. However, for the stochastic processes with heavy-tailed distributions s…
Regime variance testing - a quantile approach
Janusz gajda, Grzegorz Sikora, Agnieszka Wyłomańska
This paper is devoted to testing time series that exhibit behavior related to two or more regimes with different statistical properties. Motivation of our study are two real data s…
Arithmetic Brownian motion subordinated by tempered stable and inverse tempered stable processes
Agnieszka Wyłomańska
In the last decade the subordinated processes have become popular and found many practical applications. Therefore in this paper we examine two processes related to time-changed (s…
Anomalous diffusion models: different types of subordinator distribution
Joanna Janczura, Agnieszka Wyłomańska
Subordinated processes play an important role in modeling anomalous diffusion-type behavior. In such models the observed constant time periods are described by the subordinator dis…