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Log-normal, log-gamma and log-negative inverted gamma scenarios in multifractal products of stochastic processes

Anh, V and Leonenko, Nikolai N. 2008. Log-normal, log-gamma and log-negative inverted gamma scenarios in multifractal products of stochastic processes. Statistics and Probability Letters 78 (11) , pp. 1274-1282. 10.1016/j.spl.2007.11.019

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Abstract

This paper presents the log-normal, log-gamma and log-negative inverted gamma scenarios in limit theorems for multifractal products of stochastic processes with long-range dependence.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
Subjects: Q Science > QA Mathematics
ISSN: 0167-7152
Last Modified: 04 Jun 2017 02:56
URI: http://orca.cf.ac.uk/id/eprint/13957

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