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    Wavelet Analysis of Fractional Brownian Motion in Multifractal Time

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    Author
    Goncalves, Paulo; Riedi, Rudolf H.
    Date
    2004-01-13
    Abstract
    We study <i>fractional Brownian motions in multifractal time</i>, a model for multifractal processes proposed recently in the context of economics. Our interest focuses on the statistical properties of the wavelet decomposition of these processes, such as residual correlations (LRD) and stationarity, which are instrumental towards computing the statistics of wavelet-based estimators of the multifractal spectrum.
    Description
    Conference Paper
    Citation
    P. Goncalves and R. H. Riedi, "Wavelet Analysis of Fractional Brownian Motion in Multifractal Time," 1999.
    Keyword
    Temporary; Multifractals; Temporary
    Type
    Conference paper
    Citable link to this page
    https://hdl.handle.net/1911/19902
    Metadata
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    • DSP Publications [508]
    • ECE Publications [1468]

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    Managed by the Digital Scholarship Services at Fondren Library, Rice University
    Physical Address: 6100 Main Street, Houston, Texas 77005
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    Site Map