IDEAS home Printed from https://ideas.repec.org/a/hin/jnljps/807491.html
   My bibliography  Save this article

Multifractal Analysis of Infinite Products of Stationary Jump Processes

Author

Listed:
  • Petteri Mannersalo
  • Ilkka Norros
  • Rudolf H. Riedi

Abstract

There has been a growing interest in constructing stationary measures with known multifractal properties. In an earlier paper, the authors introduced the multifractal products of stochastic processes (MPSP) and provided basic properties concerning convergence, nondegeneracy, and scaling of moments. This paper considers a subclass of MPSP which is determined by jump processes with i.i.d. exponentially distributed interjump times. Particularly, the information dimension and a multifractal spectrum of the MPSP are computed. As a side result it is shown that the random partitions imprinted naturally by a family of Poisson point processes are sufficient to determine the spectrum in this case.

Suggested Citation

  • Petteri Mannersalo & Ilkka Norros & Rudolf H. Riedi, 2010. "Multifractal Analysis of Infinite Products of Stationary Jump Processes," Journal of Probability and Statistics, Hindawi, vol. 2010, pages 1-26, June.
    • Handle: RePEc:hin:jnljps:807491
    DOI: 10.1155/2010/807491
    as

    Download full text from publisher

    File URL: http://downloads.hindawi.com/journals/JPS/2010/807491.pdf
    Download Restriction: no
    File URL: http://downloads.hindawi.com/journals/JPS/2010/807491.xml
    Download Restriction: no
    File URL: https://libkey.io/10.1155/2010/807491?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hin:jnljps:807491. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mohamed Abdelhakeem (email available below). General contact details of provider: https://www.hindawi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.