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math.ST2021★ 6 cited
Causality in extremes of time series
Juraj Bodik, Zbyněk Pawlas, Milan Paluš
Consider two stationary time series with heavy-tailed marginal distributions. We aim to detect whether they have a causal relation, that is, if a change in one causes a change in t…
math.ST2013★ 4 cited
Fractional absolute moments of heavy tailed distributions
Muneya Matsui, Zbynek Pawlas
Several convenient methods for calculation of fractional absolute moments are given with application to heavy tailed distributions. We use techniques of fractional differentiation…