| Publication | Date of Publication | Type |
|---|
Scaled Brownian motion with random anomalous diffusion exponent
(available as arXiv preprint) | N/A | Paper |
Stochastic self-similarity and stationarity: novel perspectives for heterogeneous and multifractal processes
Chaos | 2026-07-07 | Paper |
Modified Greenwood statistic for multivariate Pareto and Student's t distributions in application to statistical testing
Statistical Papers | 2026-07-01 | Paper |
Two-dimensional fractional Brownian motion: analysis in time and frequency domains
Journal of Physics A: Mathematical and Theoretical | 2026-05-28 | Paper |
Statistical testing-based framework for differentiating anomalous diffusion models with constant and random parameters
Journal of Computational and Applied Mathematics | 2025-08-05 | Paper |
Empirical study of periodic autoregressive models with additive noise – estimation and testing
Communications in Statistics. Simulation and Computation | 2025-06-23 | Paper |
The expectation-maximization algorithm for autoregressive models with normal inverse Gaussian innovations
Communications in Statistics. Simulation and Computation | 2025-06-13 | Paper |
Two-dimensional Brownian motion with dependent components: turning angle analysis
Chaos | 2025-05-28 | Paper |
Riemann-Liouville fractional Brownian motion with random Hurst exponent
Chaos | 2025-05-28 | Paper |
Evaluating Gaussianity of heterogeneous fractional Brownian motion
Journal of Physics A: Mathematical and Theoretical | 2025-05-28 | Paper |
Conditional correlation estimation and serial dependence identification
Journal of Computational and Applied Mathematics | 2025-05-22 | Paper |
Testing and estimation of the index of stability of univariate and bivariate symmetric -stable distributions via modified Greenwood statistic
Journal of Computational and Applied Mathematics | 2025-04-25 | Paper |
Gaussian dependence structure pairwise goodness-of-fit testing based on conditional covariance and the 20/60/20 rule
Journal of Multivariate Analysis | 2025-01-20 | Paper |
Goodness-of-fit tests for the one-sided Lévy distribution based on quantile conditional moments
Journal of Applied Statistics | 2025-01-14 | Paper |
Scaled Brownian motion with random anomalous diffusion exponent
Communications in Nonlinear Science and Numerical Simulation | 2024-12-05 | Paper |
Forecasting multidimensional autoregressive time series model with symmetric \(\alpha\)-stable noise using artificial neural networks
Statistical Methods and Applications | 2024-09-02 | Paper |
Modified Greenwood statistic and its application for statistical testing
Journal of Computational and Applied Mathematics | 2024-08-22 | Paper |
Goodness-of-fit test for stochastic processes using even empirical moments statistic
Chaos | 2024-07-12 | Paper |
Fractional Brownian motion with random Hurst exponent: accelerating diffusion and persistence transitions
Chaos | 2024-07-09 | Paper |
Multifractional Brownian motion characterization based on Hurst exponent estimation and statistical learning
Chaos | 2024-07-05 | Paper |
Modelling intermittent anomalous diffusion with switching fractional Brownian motion
New Journal of Physics | 2024-06-21 | Paper |
Alternative dependency measures-based approach for estimation of the α–stable periodic autoregressive model
Communications in Statistics. Simulation and Computation | 2024-06-19 | Paper |
Distinguishing between fractional Brownian motion with random and constant Hurst exponent using sample autocovariance-based statistics
Chaos | 2024-06-12 | Paper |
Erratum to: ``Fractional Brownian motion with random Hurst exponent: accelerating diffusion and persistence transitions''
Chaos | 2024-06-12 | Paper |
Testing of two-dimensional Gaussian processes by sample cross-covariance function
Chaos | 2024-06-04 | Paper |
Autoregressive model with double Pareto distributed noise
Mathematica Applicanda | 2024-02-29 | Paper |
Product of bi-dimensional VAR(1) model components. An application to the cost of electricity load prediction errors
Statistics & Risk Modeling | 2024-01-18 | Paper |
Ornstein-Uhlenbeck process driven by -stable process and its gamma subordination
Methodology and Computing in Applied Probability | 2023-07-04 | Paper |
Forecasting of symmetric \(\alpha\)-stable autoregressive models by time series approach supported by artificial neural networks
Journal of Computational and Applied Mathematics | 2023-06-22 | Paper |
Identification and validation of periodic autoregressive model with additive noise: finite-variance case
Journal of Computational and Applied Mathematics | 2023-06-20 | Paper |
Empirical anomaly measure for finite-variance processes
Journal of Physics A: Mathematical and Theoretical | 2023-02-01 | Paper |
| Estimation of stability index for symmetric {\alpha}-stable distribution using quantile conditional variance ratios | 2022-12-27 | Paper |
Identification of the structure break point for data with changing variance
Mathematica Applicanda | 2022-10-18 | Paper |
Statistical tools for anomaly detection as a part of predictive maintenance in the mining industry
European Mathematical Society Magazine | 2022-09-27 | Paper |
Stochastic modeling of currency exchange rates with novel validation techniques
Physica A | 2022-07-26 | Paper |
Goodness-of-fit test for \(\alpha\)-stable distribution based on the quantile conditional variance statistics
Statistical Methods and Applications | 2022-07-07 | Paper |
Publisher correction to: ``Goodness-of-fit test for \(\alpha\)-stable distribution based on the quantile conditional variance statistics''
Statistical Methods and Applications | 2022-07-07 | Paper |
Variance change point detection for fractional Brownian motion based on the likelihood ratio test
Physica A | 2022-06-27 | Paper |
Bivariate sub-Gaussian model for stock index returns
Physica A | 2022-06-21 | Paper |
Cross-codifference for bidimensional VAR(1) time series with infinite variance
Communications in Statistics. Simulation and Computation | 2022-06-21 | Paper |
Stable Lévy motion with inverse Gaussian subordinator
Physica A | 2022-06-20 | Paper |
| Fractional Brownian motion with random Hurst exponent: accelerating diffusion and persistence transitions | 2022-06-08 | Paper |
Fractional Lévy stable motion time-changed by gamma subordinator
Communications in Statistics: Theory and Methods | 2022-05-20 | Paper |
Long-term prediction of the metals' prices using non-Gaussian time-inhomogeneous stochastic process
Physica A | 2022-05-19 | Paper |
The maximum likelihood method for Student's t-distributed autoregressive model with infinite variance
Mathematica Applicanda | 2022-03-15 | Paper |
Statistical test for anomalous diffusion based on empirical anomaly measure for Gaussian processes
Computational Statistics and Data Analysis | 2022-02-18 | Paper |
Moment-based estimation for parameters of general inverse subordinator
Physica A | 2022-01-20 | Paper |
Tempered Mittag-Leffler Lévy processes
Communications in Statistics: Theory and Methods | 2022-01-19 | Paper |
| On the distribution of the product of two continuous random variables with an application to electricity market transactions. Finite and infinite-variance case | 2021-11-26 | Paper |
Time-averaged mean squared displacement ratio test for Gaussian processes with unknown diffusion coefficient
Chaos: An Interdisciplinary Journal of Nonlinear Science | 2021-08-27 | Paper |
Discriminating Gaussian processes via quadratic form statistics
Chaos: An Interdisciplinary Journal of Nonlinear Science | 2021-07-15 | Paper |
Asymptotic behavior of the cross-dependence measures for bidimensional AR(1) model with \(\alpha \)-stable noise
Banach Center Publications | 2021-05-20 | Paper |
Fractional lower order covariance based-estimator for Ornstein-Uhlenbeck process with stable distribution
Mathematica Applicanda | 2020-11-23 | Paper |
The tempered stable process with infinitely divisible inverse subordinators
Journal of Statistical Mechanics: Theory and Experiment | 2020-08-11 | Paper |
Modeling anomalous diffusion by a subordinated fractional Lévy-stable process
Journal of Statistical Mechanics: Theory and Experiment | 2020-08-11 | Paper |
Spatio-temporal dependence measures for bivariate AR(1) models with \(\alpha \)-stable noise
Journal of Time Series Analysis | 2020-05-27 | Paper |
Fractional Brownian motion delayed by tempered and inverse tempered stable subordinators
Methodology and Computing in Applied Probability | 2019-04-26 | Paper |
Large deviations of time-averaged statistics for Gaussian processes
Statistics & Probability Letters | 2019-02-20 | Paper |
Stable Lévy process delayed by tempered stable subordinator
Statistics & Probability Letters | 2019-02-20 | Paper |
Cross-codifference for bidimensional VAR(1) models with infinite variance
(available as arXiv preprint) | 2019-02-06 | Paper |
Stable continuous-time autoregressive process driven by stable subordinator
Physica A | 2018-11-13 | Paper |
Discrimination of particulate matter emission sources using stochastic methods
Physica A | 2018-11-13 | Paper |
Subordinated continuous-time AR processes and their application to modeling behavior of mechanical system
Physica A | 2018-11-13 | Paper |
The modified Yule-Walker method for \(\alpha\)-stable time series models
Physica A | 2018-11-13 | Paper |
Structural break detection method based on the adaptive regression splines technique
Physica A | 2018-11-13 | Paper |
Recurrence statistics for anomalous diffusion regime change detection
Computational Statistics and Data Analysis | 2018-10-17 | Paper |
Fokker-Planck type equations associated with fractional Brownian motion controlled by infinitely divisible processes
Physica A | 2018-09-20 | Paper |
Codifference as a practical tool to measure interdependence
Physica A | 2018-09-20 | Paper |
Tempered stable Lévy motion driven by stable subordinator
Physica A | 2018-09-11 | Paper |
Measures of dependence for Ornstein-Uhlenbeck processes with tempered stable distribution
Acta Physica Polonica B | 2017-09-27 | Paper |
Regime Variance Testing --- a Quantile Approach
Acta Physica Polonica B | 2017-09-27 | Paper |
Ornstein-Uhlenbeck process with non-Gaussian structure
Acta Physica Polonica B | 2017-09-27 | Paper |
Generalized fractional Laplace motion
Statistics & Probability Letters | 2017-02-28 | Paper |
Modified cumulative distribution function in application to waiting time analysis in the continuous time random walk scenario
Journal of Physics A: Mathematical and Theoretical | 2017-02-09 | Paper |
Time-changed Ornstein-Uhlenbeck process
Journal of Physics A: Mathematical and Theoretical | 2015-04-17 | Paper |
Geometric Brownian motion with tempered stable waiting times
Journal of Statistical Physics | 2012-09-19 | Paper |
| Arithmetic Brownian motion subordinated by tempered stable and inverse tempered stable processes | 2012-03-05 | Paper |
| Anomalous diffusion models: different types of subordinator distribution | 2011-10-13 | Paper |
Calibration of the subdiffusive arithmetic Brownian motion with tempered stable waiting-times
Journal of Statistical Physics | 2011-06-28 | Paper |
Stochastic models for bidding strategies on oligopoly electricity market
Mathematical Methods of Operations Research | 2009-07-06 | Paper |
| Spectral measures of PARMA sequences | 2009-02-28 | Paper |
On the support of the spectral measure of a harmonizable sequence
Proceedings of the American Mathematical Society | 2008-06-27 | Paper |
Measures of Dependence for Stable AR(1) Models with Time-Varying Coefficients
Stochastic Models | 2008-03-31 | Paper |
| scientific article; zbMATH DE number 2148022 (Why is no real title available?) | 2005-03-21 | Paper |
Bounded solutions for ARMA model with varying coefficients
Applicationes Mathematicae | 2004-11-29 | Paper |
