Detecting multifractal stochastic processes under heavy-tailed effects

DOI10.1016/J.CHAOS.2014.04.016zbMATH Open1348.60064OpenAlexW2002404886MaRDI QIDQ339843FDOQ339843

Authors: Danijel Grahovac, Nikolai N. Leonenko 

Publication date: 11 November 2016

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2014.04.016

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zbMATH Keywords

multifractalheavy-tailed distributionpartition function methodLévy process

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Inference from stochastic processes and spectral analysis (62M15) Time series analysis of dynamical systems (37M10) Dynamical systems in optimization and economics (37N40) Simulation of dynamical systems (37M05)

Cites Work

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Cited In (7)

• Goodness-of-fit test for stochastic processes using even empirical moments statistic
• Apparent multifractality of self-similar Lévy processes
• Scaling properties of the empirical structure function of linear fractional stable motion and estimation of its parameters
• Linearization effect in multifractal analysis: insights from the random energy model
• A box-counting red herring
• Multifractional vector Brownian motions, their decompositions, and generalizations
• BOUNDS ON THE SUPPORT OF THE MULTIFRACTAL SPECTRUM OF STOCHASTIC PROCESSES

Uses Software

• Multifractal

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