Bootstrap for log Wavelet Leaders Cumulant based Multifractal Analysis.

Abstract : Multifractal analysis, which mostly consists of estimating scaling exponents related to the power law behaviors of the moments of wavelet coefficients, is becoming a popular tool for empirical data analysis. However, little is known about the statistical performance of such procedures. Notably, despite their being of major practical importance, no confidence intervals are available. Here, we choose to replace wavelet coefficients with wavelet Leaders and to use a log-cumulant based multifractal analysis. We investigate the potential use of bootstrap to derive confidence intervals for wavelet Leaders log-cumulant multifractal estimation procedures. From numerical simulations involving well-known and well-controlled synthetic multifractal processes, we obtain two results of major importance for practical multifractal analysis : we demonstrate that the use of Leaders instead of wavelet coefficients brings significant improvements in log-cumulant based multifractal estimation, we show that accurate bootstrap designed confidence intervals can be obtained for a single finite length time series.
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Communication dans un congrès
14th European Signal Processing Conference (EUSIPCO), Sep 2006, Florence, Italy. European Association for Signal processing (EURASIP), 2006
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Herwig Wendt, Stéphane Roux, Patrice Abry. Bootstrap for log Wavelet Leaders Cumulant based Multifractal Analysis.. 14th European Signal Processing Conference (EUSIPCO), Sep 2006, Florence, Italy. European Association for Signal processing (EURASIP), 2006. 〈ensl-00144568〉

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