4 papers
Two-dimensional fractional Brownian motion: Analysis in time and frequency domains
Michał Balcerek, Adrian Pacheco-Pozo, Agnieszka Wyłomańska +2
This article introduces a novel construction of the two-dimensional fractional Brownian motion (2D fBm) with dependent components. Unlike similar models discussed in the literature…
Robust Suboptimal Local Basis Function Algorithms for Identification of Nonstationary FIR Systems in Impulsive Noise Environments
Maciej Niedźwiecki, Artur Gańcza, Wojciech Żuławiński +1
While local basis function (LBF) estimation algorithms, commonly used for identifying/tracking systems with time-varying parameters, demonstrate good performance under the assumpti…
Statistical applications of the 20/60/20 rule in risk management and portfolio optimization
Kewin Pączek, Damian Jelito, Marcin Pitera +1
This paper explores the applications of the 20/60/20 rule-a heuristic method that segments data into top-performing, average-performing, and underperforming groups-in mathematical…
Modified Greenwood statistic and its application for statistical testing
Katarzyna Skowronek, Marek Arendarczyk, Radosław Zimroz +1
In this paper, we explore the modified Greenwood statistic, which, in contrast to the classical Greenwood statistic, is properly defined for random samples from any distribution. T…