NEW INSIGHTS INTO THE ESTIMATION OF SCALING EXPONENTS

DOI10.1142/S0219691304000597MaRDI QIDQ5697083zbMATH OpenOpenAlexFDO

Authors Bruno Lashermes, Patrice Abry, Pierre Chainais

Publication date 17 October 2005

Published in International Journal of Wavelets, Multiresolution and Information Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219691304000597

zbMATH Keywords

aggregationincrementmultifractal processmultiplicative martingalemultiresolutionScalingscaling exponentscaling exponent estimation

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical methods for wavelets (65T60)

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Cites work

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Cited in

(19)

• Confidence intervals for the scaling function of multifractal random walks
• Estimation of Rényi exponents in random cascades
• Multifractal detrended fluctuation analysis: practical applications to financial time series
• Estimating the scaling function of multifractal measures and multifractal random walks using ratios
• Fractal methods and the problem of estimating scaling exponents: A new approach based on upper and lower linear bounds
• Testing for scaling in natural forms and observables
• Volumetric theory of intermittency in fully developed turbulence
• Effect of linear and nonlinear filters on multifractal analysis
• Utilization of singularity exponent in nearest neighbor based classifier
• Extreme values and fat tails of multifractal fluctuations
• ON OPTIMAL WAVELET BASES FOR THE REALIZATION OF MICROCANONICAL CASCADE PROCESSES
• Multifractal spectrum distribution based on detrending moving average
• scientific article; zbMATH DE number 1072462 (Why is no real title available?)
• Statistical tests of distributional scaling properties for financial return series
• Intermittency and local Reynolds number in Navier-Stokes turbulence: a cross-over scale in the Caffarelli-Kohn-Nirenberg integral
• Shot noise multifractal model for turbulent pseudo-dissipation
• Linearization effect in multifractal analysis: insights from the random energy model
• Continuous cascade models for asset returns
• \(L^p\)-variations for multifractal fractional random walks

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