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Multifractal products of stochastic processes: construction and some basic properties

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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

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  • ECE Publications [1034 items]
    Publications by Rice University Electrical and Computer Engineering faculty and graduate students
  • DSP Publications [508 items]
    Publications by Rice Faculty and graduate students in digital signal processing.