2 papers
stat.ME2022
Dependence structure for the product of bi-dimensional finite-variance VAR(1) model components. An application to the cost of electricity load prediction errors
Joanna Janczura, Andrzej Puć, Łukasz Bielak +1
In this paper we analyze the product of bi-dimensional VAR(1) model components. For the introduced time series we derive general formulas for the autocovariance function and study…
math.PR2021
On the distribution of the product of two continuous random variables with an application to electricity market transactions. Finite and infinite-variance case
Julia Adamska, Łukasz Bielak, Joanna Janczura +1
In this paper we study the distribution of a product of two continuous random variables. We derive formulas for the probability density functions and moments of the products of the…