15 citations · 30 across the 10 of their papers we have counts for
10 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…
On the speed of convergence of discrete Pickands constants to continuous ones
Krzysztof Bisewski, Grigori Jasnovidov
In this manuscript, we address open questions raised by Dieker \& Yakir (2014), who proposed a novel method of estimation of (discrete) Pickands constants using a…
The harmonic mean formula for random processes
Krzysztof Bisewski, Enkelejd Hashorva, Georgiy Shevchenko
Motivated by the harmonic mean formula in [1], we investigate the relation between the sojourn time and supremum of a random process and extend the harmoni…
Bounds for expected supremum of fractional Brownian motion with drift
Krzysztof Bisewski, Krzysztof Dębicki, Michel Mandjes
We provide upper and lower bounds for the mean of , with a zero-mean, variance-normalized version of fractional B…
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 …
Zooming-in on a Lévy process: Failure to observe threshold exceedance over a dense grid
Krzysztof Bisewski, Jevgenijs Ivanovs
For a Lévy process on a finite time interval consider the probability that it exceeds some fixed threshold while staying below at the points of a regular grid. We est…
Controlling the time discretization bias for the supremum of Brownian Motion
Krzysztof Bisewski, Daan Crommelin, Michel Mandjes
We consider the bias arising from time discretization when estimating the threshold crossing probability , with a…