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Article Dans Une Revue Journal of Statistical Mechanics: Theory and Experiment Année : 2011

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

Résumé

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.

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Océanographie

Dates et versions

hal-00759219 , version 1 (30-11-2012)

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N. Perpete, François G Schmitt. A discrete log-normal process to generate a sequential multifractal time series,. Journal of Statistical Mechanics: Theory and Experiment, 2011, pp.12013. ⟨10.1088/1742-5468/2011/12/P12013⟩. ⟨hal-00759219⟩
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