58 citations · 298 across the 19 of their papers we have counts for
3 papers · 1 filter
Fractional Brownian motion time-changed by gamma and inverse gamma process
A. Kumar, A. Wyłomańska, R. Połoczański +1
Many real time-series exhibit behavior adequate to long range dependent data. Additionally very often these time-series have constant time periods and also have characteristics sim…
Recognition of stable distribution with Levy index alpha close to 2
Krzysztof Burnecki, Agnieszka Wyłomańska, Aleksei Beletskii +2
We address the problem of recognizing alpha-stable Levy distribution with Levy index close to 2 from experimental data. We are interested in the case when the sample size of availa…
The dependence structure for PARMA models with alpha-stable innovations
Joanna Nowicka-Zagrajek, Agnieszka Wylomanska
In this paper we investigate the dependence structure for PARMA models (i.e. ARMA models with periodic coefficients) with symmetric alpha-stable innovations. In this case the covar…