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)

Recommendations

• Infinitely divisible cascades
• On exact scaling log-infinitely divisible cascades
• Log-infinitely divisible multifractal processes
• Statistical estimation for multiplicative cascades.
• Multifractal analysis in a mixed asymptotic framework

Cited in

(26)

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

Describes a project that uses

Uses Software

• Matlab

This page was built for publication: On Non-Scale-Invariant Infinitely Divisible Cascades

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3546666)