Log-normal, log-gamma and log-negative inverted gamma scenarios in multifractal products of stochastic processes

DOI10.1016/J.SPL.2007.11.019MaRDI QIDQ945458zbMATH OpenOpenAlexFDO

Authors Vo V. Anh, Nikolai N. Leonenko

Publication date 12 September 2008

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://eprints.qut.edu.au/224201/1/lognormal_log-gamma_and_log-negative_inverted_gamma_scenarios_in_multifractal_products_of_stochastic_processes.pdf

zbMATH Keywords

limit theoremslong-range dependencemultifractal product

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Self-similar stochastic processes (60G18)

Review text

The paper is devoted to the \(L_2\)-convergence of multifractal products of stochastic processes. Depending of the initial processes (normal, gamma, negative inverted gamma) the log-normal, log-gamma and log-negative inverted gamma limit behaviour is shown. The proofs involve the techniques from [\textit{P. Mannersalo, I. Norros} and \textit{R. Riedi}, Adv. Appl. Probab. 34, No. 4, 888--903 (2002; Zbl 1027.60044)].

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Cited in

(5)

• Multifractal scenarios for products of geometric Lévy-based stationary models
• Log-Euler's gamma multifractal scenario for products of Ornstein-Uhlenbeck type processes
• Multifractal Products of Stationary Diffusion Processes
• Limit theorems for multifractal products of geometric stationary processes
• On the limit lognormal and other limit log-infinitely divisible laws

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