TY  - JOUR
AU  - Stojanović, Vladica
AU  - Kevkić, Tijana
AU  - Vujaković, Jelena
AU  - Jelić, Gordana
AU  - Pažun, Brankica
PY  - 2021
UR  - https://jakov.kpu.edu.rs/handle/123456789/1670
AB  - In this paper, an application of the Stochastic Mellin Transforms (SMTs) in determination of the probability distribution functions (PDFs) of the Stochastic Volatility (SV) models is proposed. In that aim, three basic SV time series with Gaussian innovations have been considered, and their PDFs were obtained by using the inverse SMT formula.
PB  - Bucharest : University Politehnica
T2  - U.P.B. Scientific Bulletin. Series A : Applied Mathematics and Physics
T1  - Application of Mellin Transforms in Determination the Probability Distribution of the Stochastic Volatility Models
VL  - 83
IS  - 1
SP  - 169
EP  - 178
UR  - https://hdl.handle.net/21.15107/rcub_jakov_1670
ER  - 

@article{
author = "Stojanović, Vladica and Kevkić, Tijana and Vujaković, Jelena and Jelić, Gordana and Pažun, Brankica",
year = "2021",
abstract = "In this paper, an application of the Stochastic Mellin Transforms (SMTs) in determination of the probability distribution functions (PDFs) of the Stochastic Volatility (SV) models is proposed. In that aim, three basic SV time series with Gaussian innovations have been considered, and their PDFs were obtained by using the inverse SMT formula.",
publisher = "Bucharest : University Politehnica",
journal = "U.P.B. Scientific Bulletin. Series A : Applied Mathematics and Physics",
title = "Application of Mellin Transforms in Determination the Probability Distribution of the Stochastic Volatility Models",
volume = "83",
number = "1",
pages = "169-178",
url = "https://hdl.handle.net/21.15107/rcub_jakov_1670"
}

Stojanović, V., Kevkić, T., Vujaković, J., Jelić, G.,& Pažun, B.. (2021). Application of Mellin Transforms in Determination the Probability Distribution of the Stochastic Volatility Models. in U.P.B. Scientific Bulletin. Series A : Applied Mathematics and Physics
Bucharest : University Politehnica., 83(1), 169-178.
https://hdl.handle.net/21.15107/rcub_jakov_1670

Stojanović V, Kevkić T, Vujaković J, Jelić G, Pažun B. Application of Mellin Transforms in Determination the Probability Distribution of the Stochastic Volatility Models. in U.P.B. Scientific Bulletin. Series A : Applied Mathematics and Physics. 2021;83(1):169-178.
https://hdl.handle.net/21.15107/rcub_jakov_1670 .

Stojanović, Vladica, Kevkić, Tijana, Vujaković, Jelena, Jelić, Gordana, Pažun, Brankica, "Application of Mellin Transforms in Determination the Probability Distribution of the Stochastic Volatility Models" in U.P.B. Scientific Bulletin. Series A : Applied Mathematics and Physics, 83, no. 1 (2021):169-178,
https://hdl.handle.net/21.15107/rcub_jakov_1670 .

TY  - JOUR
AU  - Stojanović, Vladica
AU  - Kevkić, Tijana
AU  - Ljajko, Eugen
AU  - Jelić, Gordana
PY  - 2019
UR  - https://www.scientificbulletin.upb.ro/rev_docs_arhiva/rez083_245254.pdf
UR  - http://jakov.kpu.edu.rs/handle/123456789/974
AB  - In this paper we propose modification of a linear autoregressive moving-average (ARMA) model by using the so-called Noise-Indicator time series. The obtained model, named NIN–ARMA model, is nonlinear threshold autoregressive one. The basic stochastic properties of the NIN–ARMA model have been analyzed and the Empirical Characteristic Function (ECF) method has been used for parameters estimation. Finally, the NIN–ARMA model has been applied in fitting of two actual, real-based physical time series.
PB  - University Politehnica of Bucharest
T2  - U.P.B. Scientific Bulletin-Series A: Applied Mathematics & Physics
T1  - Noise-Indicator Arma Model with Application in Fitting Physically-Based Time Series
VL  - 81
IS  - 2
SP  - 257
EP  - 264
UR  - https://hdl.handle.net/21.15107/rcub_jakov_974
ER  - 

@article{
author = "Stojanović, Vladica and Kevkić, Tijana and Ljajko, Eugen and Jelić, Gordana",
year = "2019",
abstract = "In this paper we propose modification of a linear autoregressive moving-average (ARMA) model by using the so-called Noise-Indicator time series. The obtained model, named NIN–ARMA model, is nonlinear threshold autoregressive one. The basic stochastic properties of the NIN–ARMA model have been analyzed and the Empirical Characteristic Function (ECF) method has been used for parameters estimation. Finally, the NIN–ARMA model has been applied in fitting of two actual, real-based physical time series.",
publisher = "University Politehnica of Bucharest",
journal = "U.P.B. Scientific Bulletin-Series A: Applied Mathematics & Physics",
title = "Noise-Indicator Arma Model with Application in Fitting Physically-Based Time Series",
volume = "81",
number = "2",
pages = "257-264",
url = "https://hdl.handle.net/21.15107/rcub_jakov_974"
}

Stojanović, V., Kevkić, T., Ljajko, E.,& Jelić, G.. (2019). Noise-Indicator Arma Model with Application in Fitting Physically-Based Time Series. in U.P.B. Scientific Bulletin-Series A: Applied Mathematics & Physics
University Politehnica of Bucharest., 81(2), 257-264.
https://hdl.handle.net/21.15107/rcub_jakov_974

Stojanović V, Kevkić T, Ljajko E, Jelić G. Noise-Indicator Arma Model with Application in Fitting Physically-Based Time Series. in U.P.B. Scientific Bulletin-Series A: Applied Mathematics & Physics. 2019;81(2):257-264.
https://hdl.handle.net/21.15107/rcub_jakov_974 .

Stojanović, Vladica, Kevkić, Tijana, Ljajko, Eugen, Jelić, Gordana, "Noise-Indicator Arma Model with Application in Fitting Physically-Based Time Series" in U.P.B. Scientific Bulletin-Series A: Applied Mathematics & Physics, 81, no. 2 (2019):257-264,
https://hdl.handle.net/21.15107/rcub_jakov_974 .

TY  - JOUR
AU  - Stojanović, Vladica
AU  - Kevkić, Tijana
AU  - Jelić, Gordana
AU  - Ranđelović, Dragan
PY  - 2018
UR  - http://jakov.kpu.edu.rs/handle/123456789/841
AB  - This paper describes the application of the homotopy perturbations method (HPM) in the computation of invariant measures (IMs) of the non-linear dynamical systems which are characterized by the complex, chaotic behavior. The convergence of the HPM is formally investigated and confirmed, and its efficiency is illustrated in several examples of widely used chaotic maps.
PB  - Univ Politehnica Bucharest, Sci Bull, Bucuresti
T2  - University politehnica of Bucharest scientific bulletin-series a-applied mathematics and physics
T1  - Determination of invariant measures: An approach based on homotopy perturbations
VL  - 80
IS  - 2
SP  - 119
EP  - 128
UR  - https://hdl.handle.net/21.15107/rcub_jakov_841
ER  - 

@article{
author = "Stojanović, Vladica and Kevkić, Tijana and Jelić, Gordana and Ranđelović, Dragan",
year = "2018",
abstract = "This paper describes the application of the homotopy perturbations method (HPM) in the computation of invariant measures (IMs) of the non-linear dynamical systems which are characterized by the complex, chaotic behavior. The convergence of the HPM is formally investigated and confirmed, and its efficiency is illustrated in several examples of widely used chaotic maps.",
publisher = "Univ Politehnica Bucharest, Sci Bull, Bucuresti",
journal = "University politehnica of Bucharest scientific bulletin-series a-applied mathematics and physics",
title = "Determination of invariant measures: An approach based on homotopy perturbations",
volume = "80",
number = "2",
pages = "119-128",
url = "https://hdl.handle.net/21.15107/rcub_jakov_841"
}

Stojanović, V., Kevkić, T., Jelić, G.,& Ranđelović, D.. (2018). Determination of invariant measures: An approach based on homotopy perturbations. in University politehnica of Bucharest scientific bulletin-series a-applied mathematics and physics
Univ Politehnica Bucharest, Sci Bull, Bucuresti., 80(2), 119-128.
https://hdl.handle.net/21.15107/rcub_jakov_841

Stojanović V, Kevkić T, Jelić G, Ranđelović D. Determination of invariant measures: An approach based on homotopy perturbations. in University politehnica of Bucharest scientific bulletin-series a-applied mathematics and physics. 2018;80(2):119-128.
https://hdl.handle.net/21.15107/rcub_jakov_841 .

Stojanović, Vladica, Kevkić, Tijana, Jelić, Gordana, Ranđelović, Dragan, "Determination of invariant measures: An approach based on homotopy perturbations" in University politehnica of Bucharest scientific bulletin-series a-applied mathematics and physics, 80, no. 2 (2018):119-128,
https://hdl.handle.net/21.15107/rcub_jakov_841 .

TY  - JOUR
AU  - Stojanović, Vladica
AU  - Kevkić, Tijana
AU  - Jelić, Gordana
PY  - 2017
UR  - https://jakov.kpu.edu.rs/handle/123456789/1674
AB  - This paper describes application of the homotopy analysis (HA) technique in approximation of infinity convolutions of mixed stochastic distributions, which usually do not have a closed form. The main result is based on HA approximations of their characteristics functions, as the Fourier-Stieltjes transforms of the appropriate distributions.
PB  - Bucharest : University Politehnica
T2  - U.P.B. Scientific Bulletin. Series A : Applied Mathematics and Physics
T1  - Application of the Homotopy Analysis Method in Approximation of Convolutions Stochastic Distributions
VL  - 79
IS  - 4
SP  - 103
EP  - 112
UR  - https://hdl.handle.net/21.15107/rcub_jakov_1674
ER  - 

@article{
author = "Stojanović, Vladica and Kevkić, Tijana and Jelić, Gordana",
year = "2017",
abstract = "This paper describes application of the homotopy analysis (HA) technique in approximation of infinity convolutions of mixed stochastic distributions, which usually do not have a closed form. The main result is based on HA approximations of their characteristics functions, as the Fourier-Stieltjes transforms of the appropriate distributions.",
publisher = "Bucharest : University Politehnica",
journal = "U.P.B. Scientific Bulletin. Series A : Applied Mathematics and Physics",
title = "Application of the Homotopy Analysis Method in Approximation of Convolutions Stochastic Distributions",
volume = "79",
number = "4",
pages = "103-112",
url = "https://hdl.handle.net/21.15107/rcub_jakov_1674"
}

Stojanović, V., Kevkić, T.,& Jelić, G.. (2017). Application of the Homotopy Analysis Method in Approximation of Convolutions Stochastic Distributions. in U.P.B. Scientific Bulletin. Series A : Applied Mathematics and Physics
Bucharest : University Politehnica., 79(4), 103-112.
https://hdl.handle.net/21.15107/rcub_jakov_1674

Stojanović V, Kevkić T, Jelić G. Application of the Homotopy Analysis Method in Approximation of Convolutions Stochastic Distributions. in U.P.B. Scientific Bulletin. Series A : Applied Mathematics and Physics. 2017;79(4):103-112.
https://hdl.handle.net/21.15107/rcub_jakov_1674 .

Stojanović, Vladica, Kevkić, Tijana, Jelić, Gordana, "Application of the Homotopy Analysis Method in Approximation of Convolutions Stochastic Distributions" in U.P.B. Scientific Bulletin. Series A : Applied Mathematics and Physics, 79, no. 4 (2017):103-112,
https://hdl.handle.net/21.15107/rcub_jakov_1674 .

TY  - JOUR
AU  - Stojanović, Vladica
AU  - Milovanović, Gradimir V.
AU  - Jelić, Gordana
PY  - 2016
UR  - https://jakov.kpu.edu.rs/handle/123456789/1685
AB  - A general type of a Split-BREAK process with Gaussian innovations (henceforth, Gaussian Split-BREAK or GSB process) is considered. The basic stochastic properties of the model are studied and its characteristic function derived. A procedure to estimate the parameter of the GSB model based on the Empirical Characteristic Function (ECF) is proposed. Our simulations suggest that the proposed method performs well compared to a Method of Moment procedure used as benchmark. The empirical use of the GSB model is illustrated with an application to the time series of total values of shares traded at Belgrade Stock Exchange.
PB  - Beachwood : Institute of Mathematical Statistics
T2  - Alea : Latin American journal of probability and mathematical statistics
T1  - Distributional properties and parameters estimation of GSB Process: An approach based on characteristic functions
VL  - 13
IS  - 2
SP  - 853
EP  - 861
DO  - 10.30757/ALEA.v13-33
ER  - 

@article{
author = "Stojanović, Vladica and Milovanović, Gradimir V. and Jelić, Gordana",
year = "2016",
abstract = "A general type of a Split-BREAK process with Gaussian innovations (henceforth, Gaussian Split-BREAK or GSB process) is considered. The basic stochastic properties of the model are studied and its characteristic function derived. A procedure to estimate the parameter of the GSB model based on the Empirical Characteristic Function (ECF) is proposed. Our simulations suggest that the proposed method performs well compared to a Method of Moment procedure used as benchmark. The empirical use of the GSB model is illustrated with an application to the time series of total values of shares traded at Belgrade Stock Exchange.",
publisher = "Beachwood : Institute of Mathematical Statistics",
journal = "Alea : Latin American journal of probability and mathematical statistics",
title = "Distributional properties and parameters estimation of GSB Process: An approach based on characteristic functions",
volume = "13",
number = "2",
pages = "853-861",
doi = "10.30757/ALEA.v13-33"
}

Stojanović, V., Milovanović, G. V.,& Jelić, G.. (2016). Distributional properties and parameters estimation of GSB Process: An approach based on characteristic functions. in Alea : Latin American journal of probability and mathematical statistics
Beachwood : Institute of Mathematical Statistics., 13(2), 853-861.
https://doi.org/10.30757/ALEA.v13-33

Stojanović V, Milovanović GV, Jelić G. Distributional properties and parameters estimation of GSB Process: An approach based on characteristic functions. in Alea : Latin American journal of probability and mathematical statistics. 2016;13(2):853-861.
doi:10.30757/ALEA.v13-33 .

Stojanović, Vladica, Milovanović, Gradimir V., Jelić, Gordana, "Distributional properties and parameters estimation of GSB Process: An approach based on characteristic functions" in Alea : Latin American journal of probability and mathematical statistics, 13, no. 2 (2016):853-861,
https://doi.org/10.30757/ALEA.v13-33 . .