Wavelet analysis of fractional Brownian motion in multifractal time

We study fractional Brownian motions in mu ltifractal time, a model for multifractal processes proposed recently in the context of economics. Our interest focuses on the statistical properties of the wavelet decompos ition of these processes, such as residual correlations (LRD) and stationarity, which are instrumental towards computing the statistics of wavelet-based estimators of the multifractal spectrum.

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