Publication | Date of Publication | Type |
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Autoregressive model with double Pareto distributed noise | 2024-02-29 | Paper |
Product of bi-dimensional VAR(1) model components. An application to the cost of electricity load prediction errors | 2024-01-18 | Paper |
Ornstein-Uhlenbeck process driven by \(\alpha\)-stable process and its gamma subordination | 2023-07-04 | Paper |
Forecasting of symmetric \(\alpha\)-stable autoregressive models by time series approach supported by artificial neural networks | 2023-06-22 | Paper |
Identification and validation of periodic autoregressive model with additive noise: finite-variance case | 2023-06-20 | Paper |
Empirical anomaly measure for finite-variance processes | 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 | 2022-10-18 | Paper |
Statistical tools for anomaly detection as a part of predictive maintenance in the mining industry | 2022-09-27 | Paper |
Stochastic modeling of currency exchange rates with novel validation techniques | 2022-07-26 | Paper |
Goodness-of-fit test for \(\alpha\)-stable distribution based on the quantile conditional variance statistics | 2022-07-07 | Paper |
Publisher correction to: ``Goodness-of-fit test for \(\alpha\)-stable distribution based on the quantile conditional variance statistics | 2022-07-07 | Paper |
Variance change point detection for fractional Brownian motion based on the likelihood ratio test | 2022-06-27 | Paper |
Bivariate sub-Gaussian model for stock index returns | 2022-06-21 | Paper |
Cross-codifference for bidimensional VAR(1) time series with infinite variance | 2022-06-21 | Paper |
Stable Lévy motion with inverse Gaussian subordinator | 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 | 2022-05-20 | Paper |
Long-term prediction of the metals' prices using non-Gaussian time-inhomogeneous stochastic process | 2022-05-19 | Paper |
The maximum likelihood method for Student's t-distributed autoregressive model with infinite variance | 2022-03-15 | Paper |
Statistical test for anomalous diffusion based on empirical anomaly measure for Gaussian processes | 2022-02-18 | Paper |
Moment-based estimation for parameters of general inverse subordinator | 2022-01-20 | Paper |
Tempered Mittag-Leffler Lévy processes | 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 | 2021-08-27 | Paper |
Discriminating Gaussian processes via quadratic form statistics | 2021-07-15 | Paper |
Asymptotic behavior of the cross-dependence measures for bidimensional AR(1) model with $\alpha $-stable noise | 2021-05-20 | Paper |
Fractional lower order covariance based-estimator for Ornstein-Uhlenbeck process with stable distribution | 2020-11-23 | Paper |
The tempered stable process with infinitely divisible inverse subordinators | 2020-08-11 | Paper |
Modeling anomalous diffusion by a subordinated fractional Lévy-stable process | 2020-08-11 | Paper |
Spatio‐Temporal Dependence Measures for Bivariate AR(1) Models with α‐Stable Noise | 2020-05-27 | Paper |
Fractional Brownian motion delayed by tempered and inverse tempered stable subordinators | 2019-04-26 | Paper |
Large deviations of time-averaged statistics for Gaussian processes | 2019-02-20 | Paper |
Stable Lévy process delayed by tempered stable subordinator | 2019-02-20 | Paper |
Cross-codifference for bidimensional VAR(1) models with infinite variance | 2019-02-06 | Paper |
Stable continuous-time autoregressive process driven by stable subordinator | 2018-11-13 | Paper |
Discrimination of particulate matter emission sources using stochastic methods | 2018-11-13 | Paper |
Subordinated continuous-time AR processes and their application to modeling behavior of mechanical system | 2018-11-13 | Paper |
The modified Yule-Walker method for \(\alpha\)-stable time series models | 2018-11-13 | Paper |
Structural break detection method based on the adaptive regression splines technique | 2018-11-13 | Paper |
Recurrence statistics for anomalous diffusion regime change detection | 2018-10-17 | Paper |
Fokker-Planck type equations associated with fractional Brownian motion controlled by infinitely divisible processes | 2018-09-20 | Paper |
Codifference as a practical tool to measure interdependence | 2018-09-20 | Paper |
Tempered stable Lévy motion driven by stable subordinator | 2018-09-11 | Paper |
https://portal.mardi4nfdi.de/entity/Q5359824 | 2017-09-27 | Paper |
Regime Variance Testing --- a Quantile Approach | 2017-09-27 | Paper |
Ornstein--Uhlenbeck Process with Non-Gaussian Structure | 2017-09-27 | Paper |
Generalized fractional Laplace motion | 2017-02-28 | Paper |
Modified cumulative distribution function in application to waiting time analysis in the continuous time random walk scenario | 2017-02-09 | Paper |
Time-changed Ornstein–Uhlenbeck process | 2015-04-17 | Paper |
Geometric Brownian motion with tempered stable waiting times | 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 | 2011-06-28 | Paper |
Stochastic models for bidding strategies on oligopoly electricity market | 2009-07-06 | Paper |
https://portal.mardi4nfdi.de/entity/Q3608185 | 2009-02-28 | Paper |
On the support of the spectral measure of a harmonizable sequence | 2008-06-27 | Paper |
Measures of Dependence for Stable AR(1) Models with Time-Varying Coefficients | 2008-03-31 | Paper |
https://portal.mardi4nfdi.de/entity/Q4659666 | 2005-03-21 | Paper |
Bounded solutions for ARMA model with varying coefficients | 2004-11-29 | Paper |