most citedFractional Brownian motion with random Hurst exponent: accelerating diffusion and persistence transitions

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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…