Log-normal, log-gamma and log-negative inverted gamma scenarios in multifractal products of stochastic processes (Q945458)
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scientific article; zbMATH DE number 5343007
| Language | Label | Description | Also known as |
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| English | Log-normal, log-gamma and log-negative inverted gamma scenarios in multifractal products of stochastic processes |
scientific article; zbMATH DE number 5343007 |
Statements
Log-normal, log-gamma and log-negative inverted gamma scenarios in multifractal products of stochastic processes (English)
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12 September 2008
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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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long-range dependence
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multifractal product
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limit theorems
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