Parameter estimation and forecasting for multiplicative log-normal cascades
نویسندگان
چکیده
منابع مشابه
Parameter estimation and forecasting for multiplicative log-normal cascades.
We study the well-known multiplicative log-normal cascade process in which the multiplication of Gaussian and log normally distributed random variables yields time series with intermittent bursts of activity. Due to the nonstationarity of this process and the combinatorial nature of such a formalism, its parameters have been estimated mostly by fitting the numerical approximation of the associa...
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ژورنال
عنوان ژورنال: Physical Review E
سال: 2012
ISSN: 1539-3755,1550-2376
DOI: 10.1103/physreve.85.046114