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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…