Wavelet estimation of a multifractal function
Gamboa, Fabrice ; Loubes, Jean-Michel
Bernoulli, Tome 11 (2005) no. 1, p. 221-246 / Harvested from Project Euclid
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We prove that multifractal functions, characterized by their wavelet representation, can be estimated in the white noise model by a Bayesian method. We give rates of convergence for two different models. Further, we study empirical methods for estimating the hyperparameters of the model, which lead to a fully tractable estimator.
Publié le : 2005-04-14
Classification:  Bayesian statistics,  multifractal analysis,  wavelet bases 
@article{1116340292,
     author = {Gamboa, Fabrice and Loubes, Jean-Michel},
     title = {Wavelet estimation of a multifractal function},
     journal = {Bernoulli},
     volume = {11},
     number = {1},
     year = {2005},
     pages = { 221-246},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1116340292}
}

Gamboa, Fabrice; Loubes, Jean-Michel. Wavelet estimation of a multifractal function. Bernoulli, Tome 11 (2005) no. 1, pp.  221-246. http://gdmltest.u-ga.fr/item/1116340292/