8 papers
CovEsts: Nonparametric Autocovariance Estimation and Analysis
Adam Bilchouris, Andriy Olenko
The paper introduces the R package CovEsts, which implements several nonparametric estimators for the autocovariance function. First, it presents the theoretical foundations of the…
Testing Diagonal Anisotropy Based on Single Realisation of Spherical Random Field
Shahid Khan, Andriy Olenko
Spherical data appear in various applications, including cosmology and the Earth sciences. A standard statistical model for such data employs isotropic spherical random fields. The…
Measures of Reliability Risk for the Australian Energy Sector
John Boland, Matthias Fresacher, David Hill +6
The article identifies the desired properties of the reliability risk metric for the Australian Energy Sector. It proposes a comprehensive set of metrics designed to measure variou…
Simulation and Analysis of Multifractional Stochastic Processes with R Package Rmfrac
Andriy Olenko, Nemini Samarakoon
Brownian motion and fractional Brownian motion have been widely applied in statistical modeling in finance, telecommunication, network traffic, neuroscience, physics, and other fie…
On Construction, Properties and Simulation of Haar-Based Multifractional Processes
Antoine Ayache, Andriy Olenko, Nemini Samarakoon
Multifractional processes extend the concept of fractional Brownian motion by replacing the constant Hurst parameter with a time-varying Hurst function. This extension allows for m…
Determining adequate consistency levels for aggregation of expert estimates
Vitaliy Tsyganok, Andriy Olenko, Pavlo Roik +1
To obtain reliable results of expertise, which usually use individual and group expert pairwise comparisons, it is important to summarize (aggregate) expert estimates provided that…
On Nonparametric Estimation of Covariograms
Adam Bilchouris, Andriy Olenko
The paper overviews and investigates several nonparametric methods of estimating covariograms. It provides a unified approach and notation to compare the main approaches used in ap…
On filter-type estimation of discretely sampled cyclic long-memory processes
Antoine Ayache, Serhii Kravchenko, Andriy Olenko
The generalized filtered method of moments was developed in the recent papers by Alomari et al., 2020, and Ayache et al., 2022. It used functional data obtained from continuously s…