Detecting multifractal stochastic processes under heavy-tailed effects

DOI10.1016/j.chaos.2014.04.016zbMath1348.60064OpenAlexW2002404886MaRDI QIDQ339843

Nikolai N. Leonenko, Danijel Grahovac

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

zbMATH Keywords

heavy-tailed distributionLévy processmultifractalpartition function method

Mathematics Subject Classification ID

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

Related Items

BOUNDS ON THE SUPPORT OF THE MULTIFRACTAL SPECTRUM OF STOCHASTIC PROCESSES, Apparent multifractality of self-similar Lévy processes, Multifractional Vector Brownian Motions, Their Decompositions, and Generalizations, Scaling properties of the empirical structure function of linear fractional stable motion and estimation of its parameters

Uses Software

• Multifractal

Cites Work

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