Confidence intervals for the scaling function of multifractal random walks

DOI10.1016/J.SPL.2009.01.004zbMath1160.62345OpenAlexW1976865434MaRDI QIDQ1017815

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

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

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