Confidence intervals for the scaling function of multifractal random walks

Carenne Ludeña

Statistics & Probability Letters, 2009, vol. 79, issue 9, 1186-1193

Abstract: Multiscaling properties are typically described by multifractal random measures or multifractal random walks which are characterized by a nonlinear scaling function. In this paper we discuss statistical issues related to the estimation of this function based on the empirical structure function and provide approximate confidence intervals in certain cases.

Date: 2009
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