On Non-Scale-Invariant Infinitely Divisible Cascades

DOI10.1109/TIT.2004.842570MaRDI QIDQ3546666zbMATH OpenOpenAlexFDO

Authors Pierre Chainais, Rudolf H. Riedi, Patrice Abry

Publication date 21 December 2008

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tit.2004.842570

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) General theory of stochastic processes (60G07)

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Cited in

(26)

• Confidence intervals for the scaling function of multifractal random walks
• The multifractal random walk as pathwise stochastic integral: construction and simulation
• Wavelet analysis of conservative cascades
• A class of multifractal processes constructed using an embedded branching process
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• Multifractal analysis in a mixed asymptotic framework
• Dynamical fractional and multifractal fields
• The singularity spectrum of Lévy processes in multifractal time
• Extreme values and fat tails of multifractal fluctuations
• A long-range dependent model for network traffic with flow-scale correlations
• Multifractal spectrum distribution based on detrending moving average
• BLACK–SCHOLES–MERTON IN RANDOM TIME: A NEW STOCHASTIC VOLATILITY MODEL WITH PATH DEPENDENCE
• Multifractal products of stochastic processes: construction and some basic properties
• On exact scaling log-infinitely divisible cascades
• scientific article; zbMATH DE number 1420984 (Why is no real title available?)
• BOUNDS ON THE SUPPORT OF THE MULTIFRACTAL SPECTRUM OF STOCHASTIC PROCESSES
• Infinitely divisible cascades
• Ambit fields: a stochastic modelling approach
• Multifractal analysis of infinite products of stationary jump processes
• On the estimation of the large deviations spectrum
• Stochastic flow cascades
• Linearization effect in multifractal analysis: insights from the random energy model
• Continuous cascade models for asset returns
• Multifractal analysis of complex random cascades
• Convergence of complex multiplicative cascades
• Functional Feynman-Kac equations for limit lognormal multifractals

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Uses Software

• Matlab

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