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08/22/2023
The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1
The time series with periodic behavior, such as the periodic autoregress...
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08/22/2023
Identification and validation of periodic autoregressive model with additive noise: finite-variance case
In this paper, we address the problem of modeling data with periodic aut...
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02/14/2023
Estimation of coefficients for periodic autoregressive model with additive noise – a finite-variance case
Periodic autoregressive (PAR) time series is considered as one of the mo...
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12/27/2022
Estimation of stability index for symmetric α-stable distribution using quantile conditional variance ratios
The class of α-stable distributions is widely used in various applicatio...
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03/04/2022
Dependence structure for the product of bi-dimensional finite-variance VAR(1) model components. An application to the cost of electricity load prediction errors
In this paper we analyze the product of bi-dimensional VAR(1) model comp...
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11/12/2021