Asymptotic distribution of time-series intermittency estimates: applications to economic and clinical data.

DOI10.1016/S0167-9473(01)00021-4zbMath1079.62540WikidataQ57826701 ScholiaQ57826701MaRDI QIDQ5958630

David R. Bickel, Dejian Lai

Publication date: 3 March 2002

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

zbMATH Keywords

Random walkHeart rate dataIntermittencyMultifractal scalingStock market dataTime series analysis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to biology and medical sciences; meta analysis (62P10) Sums of independent random variables; random walks (60G50)

Uses Software

• longmemo
• PhysioToolkit

Cites Work

• Multifractal dimensions and scaling exponents for stronlgy bounded random cascades
• Descriptive statistics for non-parametric models. III: Dispersion
• The multifractal spectrum of statistically self-similar measures
• Equilibrium mechanisms in a decentralized market
• On the dimension and entropy of probability distributions
• Some Limit Theorems for Stationary Processes
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