Multifractal diffusion entropy analysis: optimal bin width of probability histograms

DOI10.1016/j.physa.2014.07.008zbMath1395.62271arXiv1401.3316OpenAlexW2117554772MaRDI QIDQ1783077

Petr Jizba, Jan Korbel

Publication date: 20 September 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1401.3316

zbMATH Keywords

time seriesstable distributionsmultifractalsRényi entropy

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (7)

On \(q\)-non-extensive statistics with non-Tsallisian entropy ⋮ On statistical properties of Jizba-Arimitsu hybrid entropy ⋮ Role of information theoretic uncertainty relations in quantum theory ⋮ On the dynamical foundation of multifractality ⋮ Information content of liquidity and volatility measures ⋮ Rescaling the nonadditivity parameter in Tsallis thermostatistics ⋮ Modeling of financial processes with a space-time fractional diffusion equation of varying order

Uses Software

• Multifractal

Cites Work

• Multifractal detrended fluctuation analysis of nonstationary time series
• Ergodicity breakdown and scaling from single sequences
• Renyi entropy as a statistical entropy for complex systems
• Minimizing \(L_ 1\) distance in nonparametric density estimation
• The world according to Rényi: Thermodynamics of multifractal systems
• On the histogram as a density estimator:L 2 theory
• Fractional dynamics of allometry
• Introduction to Econophysics
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