- Abstract:
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The Multifractal Embedded Branching Process (MEBP) process and Canonical Embedded Branching Process (CEBP) process were introduced by Decrouez and Jones (2012). The CEBP is a process in which the crossings of dyadic intervals constitute a branching process. An MEBP process is defined as a multifractal time-change of a CEBP process, where the time-change is such that both it and the CEBP can be simulated on-line. In this paper, under various moment conditions, we show that CEBP processes have ...
Expand abstract - Publication status:
- Published
- Peer review status:
- Peer reviewed
- Version:
- Accepted manuscript
- Files:
-
-
(pdf, 495.9kb)
-
- Publisher copy:
- 10.1016/j.spa.2014.11.007
-
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- Publisher:
- Elsevier Publisher's website
- Journal:
- Stochastic Processes and their Applications Journal website
- Volume:
- 125
- Issue:
- 4
- Pages:
- 1541-1568
- Acceptance date:
- 2014-11-15
- DOI:
- EISSN:
-
1879-209X
- ISSN:
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0304-4149
- Pubs id:
-
pubs:731276
- URN:
-
uri:67cee3bd-2728-4b1f-ae41-4bd575aa8996
- UUID:
-
uuid:67cee3bd-2728-4b1f-ae41-4bd575aa8996
- Local pid:
- pubs:731276
- Copyright holder:
- Elsevier
- Notes:
- © 2014 Elsevier B.V. All rights reserved. This is the accepted manuscript version of the article. The final version is available online from Elsevier at: 10.1016/j.spa.2014.11.007.
Journal article
The Hausdorff spectrum for a class of multifractal processes
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