activity
20112021
most citedCodifference as a practical tool to measure interdependence

70 citations · 195 across the 8 of their papers we have counts for

collaborators

9 papers

q-fin.ST2021

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…

math.PR2019★ 1 cited

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…

math.PR2019★ 3 cited

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…

physics.data-an2018★ 33 cited

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…

physics.data-an2016★ 5 cited

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…

cond-mat.stat-mech2014★ 70 cited

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…

math-ph2012★ 34 cited

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…

math-ph2012★ 33 cited

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…

math-ph2011★ 16 cited

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…