Multifractal approach when estimating a pearlite structure

Multifractal Structure Of A General Subordinator

Multifractal Structure of Bernoulli Convolutions

Let ν λ be the distribution of the random series ∑∞ n=1 inλ , where in is a sequence of i.i.d. random variables taking the values 0,1 with probabilities p, 1 − p. These measures are the well-known (biased) Bernoulli convolutions. In this paper we study the multifractal spectrum of ν λ for typical λ. Namely, we investigate the size of the sets ∆λ,p(α) = { x ∈ R : lim r↘0 log ν λ(B(x, r)) log r =...

Modeling web requests: a multifractal approach

World Wide Web (WWW) caching is used to improve network latency and bandwidth usage by storing previously requested files in a cache. Ideally, the cache replacement policy should account for the intrinsic characteristics of WWW traffic, which include temporal locality, spatial locality, and popularity. In this paper, we accurately capture these three characteristics in a stochastic model, which...

Computational approach to multifractal music

In this work we perform a fractal analysis of 160 pieces of music belonging to six different genres. We show that the majority of the pieces reveal characteristics that allow us to classify them as physical processes called the 1/f (pink) noise. However, this is not true for classical music represented here by Frederic Chopin’s works and for some jazz pieces that are much more correlated than t...

Estimating Term Structure Using Nonlinear Splines: A Penalized Likelihood Approach

The spline-based models are widely used in practice to estimate the term structure of interest rates from a set of observed coupon-bond prices. The most popular method can be traced back to McCulloch (1971). Assuming that the price of a bond is equal to the present value of its future coupon payments and redemption, cash flows are regressed on a set of basis functions to estimate discount funct...