A discrete log-normal process to generate a sequential multifractal time series,

Perpete, N.; Schmitt, François G

Document type :

Article dans une revue scientifique: Article original

DOI :

10.1088/1742-5468/2011/12/P12013

Title :

A discrete log-normal process to generate a sequential multifractal time series,

Author(s) :

Perpete, N. [Auteur]
Schmitt, François G [Auteur]
Laboratoire d’Océanologie et de Géosciences (LOG) - UMR 8187 [LOG]

Journal title :

Journal of Statistical Mechanics: Theory and Experiment

Pages :

12013

Publisher :

IOP Publishing

Publication date :

2011-12-22

ISSN :

1742-5468

HAL domain(s) :

Planète et Univers [physics]/Sciences de la Terre/Océanographie

English abstract : [en]

We propose a discrete log-normal process to generate an intermittent time series and show that it possesses multifractal properties. With such a process, it is possible for the first time to sequentially generate a ...
Show more >We propose a discrete log-normal process to generate an intermittent time series and show that it possesses multifractal properties. With such a process, it is possible for the first time to sequentially generate a multifractal time series with an arbitrary length and a specified and fixed scale ratio. We explore its predictability properties and discuss a log-stable generalization. Since this corresponds to a special type of log-FARIMA truncated process, this model provides for the first time a link between FARIMA and multifractal families of models.Show less >

Language :

Anglais

Peer reviewed article :

Oui

Audience :

Internationale

Popular science :

Non

Collections :

Laboratoire d'Océanologie et de Géosciences (LOG) - UMR 8187

Source :

Harvested from HAL

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