Wavelet Analysis of Fractional Brownian Motion in Multifractal Time
نویسندگان
چکیده
We study fractional Brownian motions in multifractal time, 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.
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