J. Nowicka-Zagrajek
Research Subjects
Research Interests
J. Nowicka-Zagrajek has a total of 1 co-authors. Here are the top co-authors by number of shared publications:
A. Wyłomańska
Wrocław University of Technology
1 shared publication
Latest Publications
- 1 February 2008
- Published by Taylor & Francis in Stochastic Models
- Vol. 24 (1) , 58-70
Measures of Dependence for Stable AR(1) Models with Time-Varying Coefficients
In this paper we study the dependence structure for AR(1) models with symmetric α-stable innovations and time-varying coefficients. In this case the covariance function is not defined and therefore other measures of dependence have to be used. We formulate conditions providing the bounded solutions of such systems and give the form of the solution. Then the covariation and the codifference for stable AR(1) models are studied and the asymptotic relation between these two measures of dependence for the considered models is examined.
- 1 February 2008
- Published by Taylor & Francis in Stochastic Models
- Vol. 24 (1) , 58-70
Measures of Dependence for Stable AR(1) Models with Time-Varying Coefficients
In this paper we study the dependence structure for AR(1) models with symmetric α-stable innovations and time-varying coefficients. In this case the covariance function is not defined and therefore other measures of dependence have to be used. We formulate conditions providing the bounded solutions of such systems and give the form of the solution. Then the covariation and the codifference for stable AR(1) models are studied and the asymptotic relation between these two measures of dependence for the considered models is examined.