4 December 2000 Analysis of random cascades using the wavelet transform: from theoretical concepts to experimental applications
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Abstract
We describe a formalism that allows us to study space (or time)-scale correlations in multiscale processes. This method, based on the continuous wavelet transform, is particularly well suited to study multiplicative random cascades for which the correlation functions take very simple expressions. This two-point space-scale statistical analysis is illustrated on synthetic multifractal signals and then applied to financial time series and fully developed turbulence data.
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Alain Arneodo, Alain Arneodo, J. Delour, J. Delour, Jean Francois Muzy, Jean Francois Muzy, "Analysis of random cascades using the wavelet transform: from theoretical concepts to experimental applications", Proc. SPIE 4119, Wavelet Applications in Signal and Image Processing VIII, (4 December 2000); doi: 10.1117/12.408640; https://doi.org/10.1117/12.408640
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