To analyze financial time series exhibiting volatility clustering or other highly irregular
behavior, we exploit multifractal detrended fluctuation analysis (MF-DFA). We summarize the …

We introduce and establish the main properties of QHawkes ('Quadratic'Hawkes) models.
QHawkes models generalize the Hawkes price models introduced in Bacry and Muzy …

Plants and animals of a given species tend to cluster within their habitats in accordance with
a power function between their mean density and the variance. This relationship, Taylor's …

We study the convergence of statistical estimators used in the estimation of large-deviation
functions describing the fluctuations of equilibrium, nonequilibrium, and manmade …

Multifractal systems usually have singularity spectra defined on bounded sets of Hölder
exponents. As a consequence, their associated multifractal scaling exponents are expected …

Based on the notion of first order dyadic p-variation, we give a new characterization of Besov
spaces Bp, qs ([0, 1]) for 0< s< 1, 1≤ p, q≤+∞ and s> 1/p. We also give results in the case …

On the estimation of the large deviations spectrum - Document - Gale Academic OneFile Use
this link to get back to this page. Copy Skip to Content Library Menu: Google Scholar …

Large deviation theory offers a powerful and general statistical framework to study the
asymptotic dynamical properties of rare events. The application of the formalism to concrete …

The multifractal formalisms allow to numerically approximate the Hölder spectrum of a real-
life signal f. In this thesis, we study some multifractal formalisms based on profiles: these are …

The analysis of the linearization effect in multifractal analysis, and hence of the estimation of
moments for multifractal processes, is revisited borrowing concepts from the statistical …