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stat.ME2025
A spectral clustering-type algorithm for the consistent estimation of the Hurst distribution in moderately high dimensions
Patrice Abry, Gustavo Didier, Oliver Orejola +1
Scale invariance (fractality) is a prominent feature of the large-scale behavior of many stochastic systems. In this work, we construct an algorithm for the statistical identificat…
stat.ME2023
Multivariate selfsimilarity: Multiscale eigen-structures for selfsimilarity parameter estimation
Charles-Gérard Lucas, Gustavo Didier, Herwig Wendt +1
Scale-free dynamics, formalized by selfsimilarity, provides a versatile paradigm massively and ubiquitously used to model temporal dynamics in real-world data. However, its practic…