Long memory (long-term dependence) of volatility counts as one of the ubiquitous stylized facts of financial data. Inspired by the long memory property, multifractal processes have recently been introduced as a new tool for modeling financial time series. In this paper, we propose a parsimonious version of a bivariate multifractal model and estimate its parameters via both maximum likelihood an...

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 multifracta...

The multifractal characteristics of return signals from aircraft targets in conventional radars offer a fine description of dynamic characteristics which induce the targets’ echo structure; therefore they can provide a new way for aircraft target classification and recognition with low-resolution surveillance radars. On basis of introducing the mathematical model of return signals from aircraft...

The multifractal framework relates the scaling properties of turbulence to its local regularity properties through a statistical description as a collection of local singularities. The multifractal properties are moreover linked to the multiplicative cascade process that creates the peculiar properties of turbulence such as intermittency. A comprehensive estimation of the multifractal propertie...

Separation of geochemical anomalies from background has always been a major concern of exploration geochemistry. The search for methods that can make this analysis quantitative and objective aims not only at the reduction of subjectiveness but also at providing an automatic routine in exploration, assisting the interpretation and production of geochemical maps. This report discusses two methodo...

A variational multiscale method with multifractal subgrid-scale modeling is proposed for large-eddy simulation of turbulent flow. In the multifractal subgrid-scale modeling approach, the subgrid-scale velocity is evaluated from a multifractal description of the subgrid-scale vorticity, which is based on the multifractal scale similarity of gradient fields in turbulent flow. The multifractal sub...

We present a multiplicative multifractal process to model tra$c which exhibits long-range dependence. Using tra$c trace data captured by Bellcore from operations across local and wide area networks, we examine the interarrival time series and the packet length sequences.We also model the frame size sequences of VBR video tra$c process. We prove a number of properties of multiplicative multifrac...

this paper shows how multifractal analysis can be used to characterize the spatial distribution of epicenters in the zagros and alborz-kopeh dagh regions of iran. the main multifractal characteristics, dq, f(αq), τq, αq and a set of multifractal parameters defined from the shape of the f(αq)-spectrum including the width of f(αq)-spectrum, nonuniformity factor, combined parameter, coefficients o...

Long-range dependence (LRD) or second-order self-similarity has been found to be an ubiquitous feature of internet traffic. In addition, several traffic data sets have been shown to possess multifractal behavior. In this paper, we present an algorithm to generate traffic traces that match the LRD and multifractal properties of the parent trace. Our algorithm is based on the decorrelating proper...

soil particle-size distribution (psd) is one of the most important physical attributes due to its great influence on soil physical, chemical, and biological properties. water infiltration rate, land-use change, soil erosion, and biological soil crusts (bscs) may influence psd in a soil. the multifractal measures were useful tools in characterization of psd in soils. the objective of the current...