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

DOI10.1016/J.SPL.2007.11.019zbMath1157.60033OpenAlexW2002153171MaRDI QIDQ945458

V. 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

long-range dependencelimit theoremsmultifractal product

Mathematics Subject Classification ID

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

Related Items (2)

Multifractal scenarios for products of geometric Lévy-based stationary models ⋮ Limit theorems for multifractal products of geometric stationary processes

Cites Work

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• A refinement of previous hypotheses concerning the local structure of turbulence in a viscous incompressible fluid at high Reynolds number
• Multifractal products of stochastic processes: construction and some basic properties
• Superposition of Diffusions with Linear Generator and its Multifractal Limit Process

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