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math.PR2011★ 1 cited
Marchenko Pastur type theorem for independent MRW processes: convergence of the empirical spectral measure
Romain Allez, Rémi Rhodes, Vincent Vargas
We study the asymptotic of the spectral distribution for large empirical covariance matrices composed of independent Multifractal Random Walk processes. The asymptotic is taken as…
math.PR2011★ 45 cited
Lognormal scale invariant random measures
Romain Allez, Rémi Rhodes, Vincent Vargas
In this article, we consider the continuous analog of the celebrated Mandelbrot star equation with lognormal weights. Mandelbrot introduced this equation to characterize the law of…