Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

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Anomalous diffusion processes and their applications in real data modelling

2016/21/B/ST1/00929

Keywords:

anomalous difussion subordinated process stochastic modeling statistical identification

Descriptors:

  • ST1_18: Control theory and optimisation
  • ST3_17: Other related subjects

Panel:

ST1 - Mathematics: all areas of mathematics, pure and applied, as well as mathematical foundations of computer science, physics and statistics

Host institution :

Politechnika Wrocławska, Wydział Matematyki

woj. dolnośląskie

Other projects carried out by the institution 

Principal investigator (from the host institution):

dr hab. Agnieszka Wyłomańska 

Number of co-investigators in the project: 4

Call: OPUS 11 - announced on 2016-03-15

Amount awarded: 485 000 PLN

Project start date (Y-m-d): 2017-01-27

Project end date (Y-m-d): 2020-01-26

Project duration:: 36 months (the same as in the proposal)

Project status: Project settled

Project description

Download the project description in a pdf file

Note - project descriptions were prepared by the authors of the applications themselves and placed in the system in an unchanged form.

Equipment purchased [PL]

  1. laptop (3 szt.) (30 000 PLN)
  2. monitory panoramiczne DELL 27'' U2715H, M_4 (2 szt.).

Information in the final report

  • Publication in academic press/journals (29)
  • Book publications / chapters in book publications (5)
  1. Application of compound Poisson process for modelling of ore flow in a belt conveyor system with cyclic loading
    Authors:
    Kruczek Piotr, Polak Marta, Wylomanska Agnieszka, Kawalec Witold, Zimroz Radoslaw
    Academic press:
    Journal International Journal of Mining, Reclamation and Environment (rok: 2018, tom: 32(6), strony: 376–391), Wydawca: Taylor& Francis
    Status:
    Published
    DOI:
    10.1080/17480930.2017.1388335 - link to the publication
  2. Asymptotic behavior of cross-dependence measures for bidimensional AR(1) model with alpha−stable noise
    Authors:
    Grzesiek Aleksandra, Wyłomańska Agnieszka
    Academic press:
    Banach Center Publications (rok: 2020, tom: 122, strony: 133-157), Wydawca: IM PAN
    Status:
    Published
    DOI:
    10.4064/bc122-8 - link to the publication
  3. Elucidating distinct ion channel populations on the surface of hippocampal neurons via single-particle tracking recurrence analysis
    Authors:
    6.Sikora Grzegorz, Wylomanska Agnieszka, Gajda Janusz, Laura Sole, Elizabeth J. Akin, Michael M. Tamkun, Diego Krapf
    Academic press:
    Physical Review E (rok: 2017, tom: 96, strony: 62404), Wydawca: American Physical Society
    Status:
    Published
    DOI:
    10.1103/PhysRevE.96.062404 - link to the publication
  4. Fractional Brownian motion delayed by tempered and inverse tempered stable subordinators
    Authors:
    Kumar Arun, Wylomanska Agnieszka, Poloczanski Rafal, Gajda Janusz
    Academic press:
    Methodology and Computing in Applied Probability (rok: 2019, tom: 21, strony: 185-202), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s11009-018-9648-x - link to the publication
  5. How to detect cyclostationarity in heavy-tailed distributed signals
    Authors:
    Kruczek Piotr, Zimroz radosław, Wyłomańska Agnieszka
    Academic press:
    Signal Processing (rok: 2020, tom: 172, strony: 107514), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.sigpro.2020.107514 - link to the publication
  6. Large deviations of time-averaged statistics for Gaussian processes
    Authors:
    Janusz Gajda, Agnieszka Wylomanska, Holger Kantz, Aleksei Chechkin, Grzegorz Sikora
    Academic press:
    Statistics and Probability Letters (rok: 2018, tom: 143, strony: 47-55), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.spl.2018.07.013 - link to the publication
  7. Stochastic modeling of currency exchange rates with novel validation techniques
    Authors:
    Sikora Grzegorz, Michalak Anna, Bielak Łukasz, Miśta Paweł, Wyłomańska Agnieszka
    Academic press:
    Physica A: Statistical Mechanics and its Applications (rok: 2019, tom: 523, strony: 1202-1215), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.physa.2019.04.098 - link to the publication
  8. Tempered Mittag-Leffler Lévy processes
    Authors:
    Kumar Arun, N. S. Upadhye, Wyłomańska Agnieszka, Gajda Janusz
    Academic press:
    Communications in Statistics - Theory and Methods (rok: 2019, tom: 48, strony: 396-411), Wydawca: taylor and Francis
    Status:
    Published
    DOI:
    10.1080/03610926.2017.1410719 - link to the publication
  9. Asymptotic behavior of dependence measures for Ornstein-Uhlenbeck model based on long memory processes
    Authors:
    Gajda Janusz, Wyłomańska Agnieszka
    Academic press:
    Stochastic Models , Wydawca: Taylor and Francis
    Status:
    Submitted
    DOI:
    brak - link to the publication
  10. Cross-codifference for bidimensional VAR(1) time series with infinite variance
    Authors:
    Grzesiek Aleksandra, Teuerle Marek, Wyłomańska Agnieszka
    Academic press:
    Communications in Statistics - Simulation and Computation (rok: 2020, ), Wydawca: Taylor and Francis
    Status:
    Published
    DOI:
    10.1080/03610918.2019.1670840 - link to the publication
  11. Discriminating between scaled and fractional Brownian motion via p-variation statistics
    Authors:
    Aleksandra Grzesiek, Janusz Gajda, Agnieszka Wylomanska, S. Sundar
    Academic press:
    International Journal of Advances in Engineering Sciences and Applied Mathematics (rok: 2018, tom: 10(1), strony: 45549), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s12572-018-0206-0 - link to the publication
  12. Fractional lower order covariance based-estimator for Ornstein-Uhlenbeck process with stable distribution
    Authors:
    Kruczek Piotr, Wojciech Zuławiński, Pagacz Patrycja, Wyłomańska Agnieszka
    Academic press:
    Mathematica Applicanda (rok: 2019, tom: 47, strony: 259-292), Wydawca: PTM
    Status:
    Published
    DOI:
    10.14708/ma.v47i2.6506 - link to the publication
  13. Optimal parameters for anomalous diffusion exponent estimation from noisy data
    Authors:
    Y. Lanoiselee, D.S. Grebenkov, G. Sikora, A. Grzesiek, A. Wylomanska
    Academic press:
    Physical Review E (rok: 2018, tom: 98, strony: 62139), Wydawca: American Physical Society
    Status:
    Published
    DOI:
    10.1103/PhysRevE.98.062139 - link to the publication
  14. Stable distribution in application to fixational eye movement description
    Authors:
    Szmigiel Marta, Grzesiek Aleksandra, Wyłomańska Agnieszka, Kasprzak Henryk
    Academic press:
    Optica Applicata (rok: 2019, tom: XLIX, strony: 365-377), Wydawca: Wrocław University of Science and Technology, Faculty of Fundamental Problems of Technology
    Status:
    Published
    DOI:
    10.5277/oa190216 - link to the publication
  15. Recurrence statistics for anomalous diffusion regime change detection
    Authors:
    Grzegorz Sikora, Agnieszka Wylomanska, Diego Krapf
    Academic press:
    Computational Statistics & Data Analysis (rok: 2018, tom: 128, strony: 380-394), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.csda.2018.07.014 - link to the publication
  16. Statistical properties of the anomalous scaling exponent estimator based on time averaged mean square displacement
    Authors:
    Sikora Grzegorz, Teuerle Marek, Wylomanska Agnieszka, Grebenkov Denis
    Academic press:
    Physical Review E (rok: 2017, tom: 96, strony: 22132), Wydawca: American Physical Society
    Status:
    Published
    DOI:
    10.1103/PhysRevE.96.022132 - link to the publication
  17. Moment-based estimation technique for parameters of general inverse subordinator
    Authors:
    Grzesiek Aleksandra, Połoczański Rafał, Kumar Arun, Wyłomańska Agnieszka
    Academic press:
    Physica A: Statistical Mechanics and its Applications , Wydawca: Springer
    Status:
    Accepted for publication
    DOI:
    brak - link to the publication
  18. Bivariate sub-Gaussian model for stock indices returns
    Authors:
    Jabłońska Matylda, Teuerle Marek, Wyłomańska Agnieszka
    Academic press:
    Physica A: Statistical Mechanics and its Applications (rok: 2017, tom: 486, strony: 628–637), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.physa.2017.05.080 - link to the publication
  19. Fractional lower order covariance-based estimator for bidimensional AR(1) model with stable distribution
    Authors:
    Grzesiek Aleksandra, S. Sundar, Wyłomańska Agnieszka
    Academic press:
    International Journal of Advances in Engineering Sciences and Applied Mathematics (rok: 2019, tom: 11, strony: 217–229), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s12572-019-00250-9 - link to the publication
  20. Mean-squared displacement statistical test for fractional Brownian motion
    Authors:
    Sikora Grzegorz, Burnecki Krzysztof, Wylomanska Agnieszka
    Academic press:
    Physical Review E (rok: 2017, tom: 95, strony: 32110), Wydawca: American Physical Society
    Status:
    Published
    DOI:
    10.1103/PhysRevE.95.032110 - link to the publication
  21. Omnibus test for normality based on the Edgeworth expansion
    Authors:
    Wyłomańska Agnieszka, Burnecki Krzysztof, Iskander Robert
    Academic press:
    PLOS ONE (rok: 2020, tom: 15, strony: e0233901), Wydawca: Public Library of Science
    Status:
    Published
    DOI:
    10.1371/journal.pone.0233901 - link to the publication
  22. Spatio‐Temporal Dependence Measures for Bivariate AR(1) Models with alpha‐Stable Noise
    Authors:
    Grzesiek Aleksandra, Sikora Grzegorz, Teuerle Marek, Wyłomańska Agnieszka
    Academic press:
    Journal of Time Series Analysis (rok: 2020, tom: 41, strony: 454–475), Wydawca: Wiley
    Status:
    Published
    DOI:
    10.1111/jtsa.12517 - link to the publication
  23. Stable Levy motion with inverse Gaussian subordinator
    Authors:
    Kumar Arun, Wylomanska Agnieszka, Gajda Janusz
    Academic press:
    Physica A: Statistical Mechanics and its Applications (rok: 2017, tom: 482, strony: 486–500), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.physa.2017.04.097 - link to the publication
  24. Fractional Levy stable motion time-changed by gamma subordinator
    Authors:
    Gajda Janusz, Wylomanska Agnieszka, Kumar Arun
    Academic press:
    Communications in Statistics - Theory and Methods (rok: 2019, tom: 48, strony: 5953-5968), Wydawca: Taylor&Francis
    Status:
    Published
    DOI:
    10.1080/03610926.2018.1523430 - link to the publication
  25. Linnik Levy process and some extensions
    Authors:
    Kumar Arun, Maheshwari Aditya, Wyłomańska Agnieszka
    Academic press:
    Physica A: Statistical Mechanics and its Applications (rok: 2019, tom: 529, strony: 121539), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.physa.2019.121539 - link to the publication
  26. Probabilistic properties of detrended fluctuation analysis for Gaussian processes
    Authors:
    Sikora Grzegorz, Hoell Marc, Wyłomańska Agnieszka, Gajda janusz, Chechkin Aleksei
    Academic press:
    Physical Review E (rok: 2020, tom: 101, strony: 32114), Wydawca: American Physical Society
    Status:
    Published
    DOI:
    10.1103/PhysRevE.101.032114 - link to the publication
  27. Variance change point detection for fractional Brownian motion based on the likelihood ratio test
    Authors:
    Kucharczyk Daniel, Wylomanska Agnieszka, Sikora Grzegorz
    Academic press:
    Physica A: Statistical Mechanics and its Applications (rok: 2018, tom: 490, strony: 439-450), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.physa.2017.08.134 - link to the publication
  28. Long-term prediction of the metals' prices using non-Gaussian time-inhomogeneous stochastic process
    Authors:
    Szarek Dawid, Bielak Łukasz, Wyłomańska Agnieszka
    Academic press:
    Physica A: Statistical Mechanics and its Applications (rok: 2020, tom: 555, strony: 124659), Wydawca: Elsevier
    Status:
    Accepted for publication
    DOI:
    10.1016/j.physa.2020.124659 - link to the publication
  29. The covariation-based Yule-Walker method for multidimensional autoregressive time series with alpha-stable distributed noise
    Authors:
    Grzesiek Aleksandra, Mrozińska Marta, Giri Prashant, S. Sundar, Wyłomańska Agnieszka
    Academic press:
    Applicationes Mathematicae , Wydawca: Applicationes Mathematicae
    Status:
    Submitted
    DOI:
    brak - link to the publication
  1. How to describe the linear dependence for heavy-tailed distributed data
    Authors:
    Grzesiek Aleksandra, Michalak Anna, Wyłomańska Agnieszka
    Book:
    Nonstationary Systems - Theory and Applications , Wydawca: Springer
    Status:
    Accepted for publication
  2. Ornstein-Uhlenbeck Process Delayed by Gamma Subordinator
    Authors:
    Poczynek Paula, Wyłomańska Agnieszka
    Book:
    Cyclostationarity: Theory and Methods (rok: 2020, tom: IV, strony: 147-165), Wydawca: Springer
    Status:
    Published
  3. Asymptotics of alternative dependence measures for two-dimensional alpha−stable AR(1) model
    Authors:
    Grzesiek Aleksandra, Wyłomańska Agnieszka
    Book:
    Nonstationary Systems - Theory and Applications , Wydawca: Springer
    Status:
    Accepted for publication
  4. Subordinated Processes with Infinite Variance
    Authors:
    Grzesiek Aleksandra, Wyłomańska Agnieszka
    Book:
    Cyclostationarity: Theory and Methods – IV (rok: 2020, tom: IV, strony: 111-135), Wydawca: Springer
    Status:
    Published
  5. Time-averaged statistics-based methods for anomalous diffusive exponent estimation
    Authors:
    Maraj Katarzyna, Wyłomańska Agnieszka
    Book:
    Nonstationary Systems - Theory and Applications , Wydawca: Springer
    Status:
    Accepted for publication

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