Statistical estimation for multiplicative cascades.

DOI10.1214/aos/1015957469zbMath1105.60305OpenAlexW1988927463MaRDI QIDQ1848839

Edward C. Waymire, Mina Ossiander

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

Mathematics Subject Classification ID

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)

Related Items (25)

Extreme values and fat tails of multifractal fluctuations ⋮ Continuous cascade models for asset returns ⋮ Hausdorff and packing spectra, large deviations, and free energy for branching random walks in \({\mathbb{R}^d}\) ⋮ Second order properties of distribution tails and estimation of tail exponents in random difference equations ⋮ Diffusions of multiplicative cascades ⋮ Testing the type of a semi-martingale: Itō against multifractal ⋮ Multifractal analysis in a mixed asymptotic framework ⋮ On the estimation of the large deviations spectrum ⋮ Estimating the scaling function of multifractal measures and multifractal random walks using ratios ⋮ \(L^p\)-variations for multifractal fractional random walks ⋮ Adaptive wavelet decompositions of stationary time series ⋮ Using Observed Functional Data to Simulate a Stochastic Process via a Random Multiplicative Cascade Model ⋮ Log-normal continuous cascade model of asset returns: aggregation properties and estimation ⋮ Convergence of the Structure Function of a Multifractal Random Walk in a Mixed Asymptotic Setting ⋮ Fractional multiplicative processes ⋮ Linearization effect in multifractal analysis: insights from the random energy model ⋮ Convergence of complex multiplicative cascades ⋮ BOUNDS ON THE SUPPORT OF THE MULTIFRACTAL SPECTRUM OF STOCHASTIC PROCESSES ⋮ Wavelet leaders and bootstrap for multifractal analysis of images ⋮ Confidence intervals for the scaling function of multifractal random walks ⋮ KPZ in one dimensional random geometry of multiplicative cascades ⋮ Statistical estimation for multiplicative cascades. ⋮ Lucien Le Cam 1924--2000. ⋮ Difference based estimators and infill statistics ⋮ Renewal of singularity sets of random self-similar measures

Cites Work

• Large deviations for multiplicative chaos
• Multifractal dimensions and scaling exponents for stronlgy bounded random cascades
• Fluctuations of sequences which converge in distribution
• Sur certaines martingales de Benoit Mandelbrot
• Estimation of Rényi exponents in random cascades
• Wavelet analysis of conservative cascades
• Statistical estimation for multiplicative cascades.
• Scaling exponents and multifractal dimensions for independent random cascades
• Approximation Theorems of Mathematical Statistics
• A refinement of previous hypotheses concerning the local structure of turbulence in a viscous incompressible fluid at high Reynolds number
• Intermittent turbulence in self-similar cascades: divergence of high moments and dimension of the carrier
• Uniform Central Limit Theorems
• Independent random cascades on Galton-Watson trees
• Scaling analysis of conservative cascades, with applications to network traffic
• A cascade decomposition theory with applications to Markov and exchangeable cascades
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