Confidence intervals for the scaling function of multifractal random walks

DOI10.1016/J.SPL.2009.01.004MaRDI QIDQ1017815zbMATH OpenOpenAlexFDO

Authors Carenne Ludeña

Publication date 12 May 2009

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2009.01.004

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Non-Markovian processes: estimation (62M09) Sums of independent random variables; random walks (60G50)

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Cites work

• Extreme values and fat tails of multifractal fluctuations
• Intermittent turbulence in self-similar cascades: divergence of high moments and dimension of the carrier
• Log-infinitely divisible multifractal processes
• Modelling financial time series using multifractal random walks
• Multifractal Random Walks as Fractional Wiener Integrals
• Multifractal analysis in a mixed asymptotic framework
• Multifractal products of cylindrical pulses
• On Non-Scale-Invariant Infinitely Divisible Cascades
• Statistical estimation for multiplicative cascades.
• Sur certaines martingales de Benoit Mandelbrot
• Wavelet leaders and bootstrap for multifractal analysis of images
• \(L^p\)-variations for multifractal fractional random walks

Cited in

(3)

• Estimating the scaling function of multifractal measures and multifractal random walks using ratios
• scientific article; zbMATH DE number 1218930 (Why is no real title available?)
• Testing the type of a semi-martingale: Itō against multifractal

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