|
Title:
|
Multifractal products of stochastic processes: construction and some basic properties |
|
Author:
|
Mannersalo , Petteri; Riedi, Rudolf H.; Norros , Ilkka
|
|
Type:
|
Journal Paper |
|
Keywords:
|
Multifractal; stationary increments; network modelling |
|
Citation:
|
P. Mannersalo , R. H. Riedi and I. Norros , "Multifractal products of stochastic processes: construction and some basic properties," Applied Probability Trust, 2002. |
|
Abstract:
|
In various fields, such as teletraffic and economics, measured times series have been reported to adhere to multifractal scaling. Classical cascading measures possess multifractal scaling, but their increments form a non-stationary process. To overcome this problem we introduce a construction of random multifractal measures based on iterative multiplication of stationary stochastic processes, a special form of T-martingales. We study L<sup>2</sup>-convergence, non-degeneracy and continuity of the limit process. Establishing a power law for its moments we obtain a formula for the multifractal spectrum and hint at how to prove the full formalism. |
|
Date Published:
|
2002-01-15 |
