Statistical estimation for multiplicative cascades.
DOI10.1214/AOS/1015957469zbMATH Open1105.60305OpenAlexW1988927463MaRDI QIDQ1848839FDOQ1848839
Authors: Mina Ossiander, Edward C. Waymire 
Publication date: 14 November 2002
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1015957469
Recommendations
Asymptotic properties of parametric estimators (62F12) Parametric tolerance and confidence regions (62F25) Central limit and other weak theorems (60F05) Random measures (60G57) Self-similar stochastic processes (60G18) Multiplicative functionals and Markov processes (60J57)
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Cited In (27)
- Estimating the scaling function of multifractal measures and multifractal random walks using ratios
- Log-normal continuous cascade model of asset returns: aggregation properties and estimation
- Multifractal analysis in a mixed asymptotic framework
- Hausdorff and packing spectra, large deviations, and free energy for branching random walks in \({\mathbb{R}^d}\)
- Difference based estimators and infill statistics
- Diffusions of multiplicative cascades
- \(L^p\)-variations for multifractal fractional random walks
- Using Observed Functional Data to Simulate a Stochastic Process via a Random Multiplicative Cascade Model
- Linearization effect in multifractal analysis: insights from the random energy model
- On Non-Scale-Invariant Infinitely Divisible Cascades
- Statistical estimation for multiplicative cascades.
- Confidence intervals for the scaling function of multifractal random walks
- Renewal of singularity sets of random self-similar measures
- KPZ in one dimensional random geometry of multiplicative cascades
- Second order properties of distribution tails and estimation of tail exponents in random difference equations
- Adaptive wavelet decompositions of stationary time series
- BOUNDS ON THE SUPPORT OF THE MULTIFRACTAL SPECTRUM OF STOCHASTIC PROCESSES
- Testing the type of a semi-martingale: Itō against multifractal
- 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
- Fractional multiplicative processes
- Convergence of the structure function of a multifractal random walk in a mixed asymptotic setting
- Wavelet leaders and bootstrap for multifractal analysis of images
- Wavelet analysis of conservative cascades
- Lucien Le Cam 1924--2000.
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