58 citations · 298 across the 19 of their papers we have counts for
3 papers · 1 filter
The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1
Prashant Giri, Aleksandra Grzesiek, Wojciech Żuławiński +2
The time series with periodic behavior, such as the periodic autoregressive (PAR) models belonging to the class of the periodically correlated processes, are present in various rea…
Identification and validation of periodic autoregressive model with additive noise: finite-variance case
Wojciech Żuławiński, Aleksandra Grzesiek, Radosław Zimroz +1
In this paper, we address the problem of modeling data with periodic autoregressive (PAR) time series and additive noise. In most cases, the data are processed assuming a noise-fre…
Memory-multi-fractional Brownian motion with continuous correlations
Wei Wang, Michal Balcerek, Krzysztof Burnecki +6
We propose a generalization of the widely used fractional Brownian motion (FBM), memory-multi-FBM (MMFBM), to describe viscoelastic or persistent anomalous diffusion with time-depe…