2 citations · 3 across the 5 of their papers we have counts for
5 papers
Nonparametric testing via partial sorting
Krzysztof Bisewski, H. M. Jansen, Yoni Nazarathy
In this paper we introduce the idea of partially sorting data to design nonparametric tests. This approach gives rise to tests that are sensitive to both the order and the underlyi…
Lower bound for the expected supremum of fractional Brownian motion using coupling
Krzysztof Bisewski
We derive a new theoretical lower bound for the expected supremum of drifted fractional Brownian motion with Hurst index over (in)finite time horizon. Extensive simulat…
Simultaneous ruin probability for multivariate gaussian risk model
Krzysztof Bisewski, Krzysztof Debicki, Nikolai Kriukov
Let where , are mutually independent centered Gaussian processes with continuo…
Derivatives of sup-functionals of fractional Brownian motion evaluated at H=1/2
Krzysztof Bisewski, Krzysztof Dębicki, Tomasz Rolski
We consider a family of sup-functionals of (drifted) fractional Brownian motion with Hurst parameter . This family includes, but is not limited to: expected value of the…
Rare Event Simulation for Steady-State Probabilities via Recurrency Cycles
Krzysztof Bisewski, Daan Crommelin, Michel Mandjes
We develop a new algorithm for the estimation of rare event probabilities associated with the steady-state of a Markov stochastic process with continuous state space …