{"id":"https://openalex.org/W4388281992","doi":"https://doi.org/10.1145/3631522","title":"An Improved Model of Wavelet Leader Covariance for Estimating Multifractal Properties","display_name":"An Improved Model of Wavelet Leader Covariance for Estimating Multifractal Properties","publication_year":2023,"publication_date":"2023-11-03","ids":{"openalex":"https://openalex.org/W4388281992","doi":"https://doi.org/10.1145/3631522"},"language":"en","primary_location":{"id":"doi:10.1145/3631522","is_oa":true,"landing_page_url":"https://doi.org/10.1145/3631522","pdf_url":"https://dl.acm.org/doi/pdf/10.1145/3631522","source":{"id":"https://openalex.org/S38703467","display_name":"ACM Transactions on Modeling and Computer Simulation","issn_l":"1049-3301","issn":["1049-3301","1558-1195"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319798","host_organization_name":"Association for Computing Machinery","host_organization_lineage":["https://openalex.org/P4310319798"],"host_organization_lineage_names":["Association for Computing Machinery"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"ACM Transactions on Modeling and Computer Simulation","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"bronze","oa_url":"https://dl.acm.org/doi/pdf/10.1145/3631522","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5066053749","display_name":"Garry Jacyna","orcid":"https://orcid.org/0000-0002-0092-8189"},"institutions":[{"id":"https://openalex.org/I44896327","display_name":"Mitre (United States)","ror":"https://ror.org/03ks2a131","country_code":"US","type":"company","lineage":["https://openalex.org/I44896327"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Garry Jacyna","raw_affiliation_strings":["The MITRE Corporation, United States"],"raw_orcid":"https://orcid.org/0000-0002-0092-8189","affiliations":[{"raw_affiliation_string":"The MITRE Corporation, United States","institution_ids":["https://openalex.org/I44896327"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5067512170","display_name":"Damon Frezza","orcid":"https://orcid.org/0000-0003-3528-2928"},"institutions":[{"id":"https://openalex.org/I44896327","display_name":"Mitre (United States)","ror":"https://ror.org/03ks2a131","country_code":"US","type":"company","lineage":["https://openalex.org/I44896327"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Damon Frezza","raw_affiliation_strings":["The MITRE Corporation, United States"],"raw_orcid":"https://orcid.org/0000-0003-3528-2928","affiliations":[{"raw_affiliation_string":"The MITRE Corporation, United States","institution_ids":["https://openalex.org/I44896327"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5103200157","display_name":"David Slater","orcid":"https://orcid.org/0000-0002-3160-0389"},"institutions":[{"id":"https://openalex.org/I44896327","display_name":"Mitre (United States)","ror":"https://ror.org/03ks2a131","country_code":"US","type":"company","lineage":["https://openalex.org/I44896327"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"David M. Slater","raw_affiliation_strings":["The MITRE Corporation, United States"],"raw_orcid":"https://orcid.org/0000-0002-3160-0389","affiliations":[{"raw_affiliation_string":"The MITRE Corporation, United States","institution_ids":["https://openalex.org/I44896327"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5039804973","display_name":"James R. Thompson","orcid":"https://orcid.org/0000-0002-1906-0471"},"institutions":[{"id":"https://openalex.org/I44896327","display_name":"Mitre (United States)","ror":"https://ror.org/03ks2a131","country_code":"US","type":"company","lineage":["https://openalex.org/I44896327"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"James R. Thompson","raw_affiliation_strings":["The MITRE Corporation, United States"],"raw_orcid":"https://orcid.org/0000-0002-1906-0471","affiliations":[{"raw_affiliation_string":"The MITRE Corporation, United States","institution_ids":["https://openalex.org/I44896327"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5066053749"],"corresponding_institution_ids":["https://openalex.org/I44896327"],"apc_list":null,"apc_paid":null,"fwci":1.1038,"has_fulltext":true,"cited_by_count":2,"citation_normalized_percentile":{"value":0.88869599,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":95,"max":96},"biblio":{"volume":"34","issue":"1","first_page":"1","last_page":"22"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9995999932289124,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9995999932289124,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9830999970436096,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12205","display_name":"Time Series Analysis and Forecasting","score":0.9521999955177307,"subfield":{"id":"https://openalex.org/subfields/1711","display_name":"Signal Processing"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/multifractal-system","display_name":"Multifractal system","score":0.8701413869857788},{"id":"https://openalex.org/keywords/covariance","display_name":"Covariance","score":0.6251245737075806},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.6130661964416504},{"id":"https://openalex.org/keywords/wavelet","display_name":"Wavelet","score":0.585929274559021},{"id":"https://openalex.org/keywords/covariance-function","display_name":"Covariance function","score":0.5551316738128662},{"id":"https://openalex.org/keywords/scaling","display_name":"Scaling","score":0.48487624526023865},{"id":"https://openalex.org/keywords/parametric-statistics","display_name":"Parametric statistics","score":0.4356541633605957},{"id":"https://openalex.org/keywords/wavelet-transform","display_name":"Wavelet transform","score":0.4316101670265198},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.38455095887184143},{"id":"https://openalex.org/keywords/statistical-physics","display_name":"Statistical physics","score":0.36758217215538025},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.3223155736923218},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.2219220995903015},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.2170727252960205},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.18342328071594238},{"id":"https://openalex.org/keywords/fractal","display_name":"Fractal","score":0.1678491234779358},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.09796303510665894}],"concepts":[{"id":"https://openalex.org/C133905733","wikidata":"https://www.wikidata.org/wiki/Q2629238","display_name":"Multifractal system","level":3,"score":0.8701413869857788},{"id":"https://openalex.org/C178650346","wikidata":"https://www.wikidata.org/wiki/Q201984","display_name":"Covariance","level":2,"score":0.6251245737075806},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.6130661964416504},{"id":"https://openalex.org/C47432892","wikidata":"https://www.wikidata.org/wiki/Q831390","display_name":"Wavelet","level":2,"score":0.585929274559021},{"id":"https://openalex.org/C137250428","wikidata":"https://www.wikidata.org/wiki/Q5178897","display_name":"Covariance function","level":3,"score":0.5551316738128662},{"id":"https://openalex.org/C99844830","wikidata":"https://www.wikidata.org/wiki/Q102441924","display_name":"Scaling","level":2,"score":0.48487624526023865},{"id":"https://openalex.org/C117251300","wikidata":"https://www.wikidata.org/wiki/Q1849855","display_name":"Parametric statistics","level":2,"score":0.4356541633605957},{"id":"https://openalex.org/C196216189","wikidata":"https://www.wikidata.org/wiki/Q2867","display_name":"Wavelet transform","level":3,"score":0.4316101670265198},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.38455095887184143},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.36758217215538025},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.3223155736923218},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.2219220995903015},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.2170727252960205},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.18342328071594238},{"id":"https://openalex.org/C40636538","wikidata":"https://www.wikidata.org/wiki/Q81392","display_name":"Fractal","level":2,"score":0.1678491234779358},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.09796303510665894},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1145/3631522","is_oa":true,"landing_page_url":"https://doi.org/10.1145/3631522","pdf_url":"https://dl.acm.org/doi/pdf/10.1145/3631522","source":{"id":"https://openalex.org/S38703467","display_name":"ACM Transactions on Modeling and Computer Simulation","issn_l":"1049-3301","issn":["1049-3301","1558-1195"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319798","host_organization_name":"Association for Computing Machinery","host_organization_lineage":["https://openalex.org/P4310319798"],"host_organization_lineage_names":["Association for Computing Machinery"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"ACM Transactions on Modeling and Computer Simulation","raw_type":"journal-article"}],"best_oa_location":{"id":"doi:10.1145/3631522","is_oa":true,"landing_page_url":"https://doi.org/10.1145/3631522","pdf_url":"https://dl.acm.org/doi/pdf/10.1145/3631522","source":{"id":"https://openalex.org/S38703467","display_name":"ACM Transactions on Modeling and Computer Simulation","issn_l":"1049-3301","issn":["1049-3301","1558-1195"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319798","host_organization_name":"Association for Computing Machinery","host_organization_lineage":["https://openalex.org/P4310319798"],"host_organization_lineage_names":["Association for Computing Machinery"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"ACM Transactions on Modeling and Computer Simulation","raw_type":"journal-article"},"sustainable_development_goals":[{"score":0.75,"display_name":"Peace, Justice and strong institutions","id":"https://metadata.un.org/sdg/16"}],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4388281992.pdf","grobid_xml":"https://content.openalex.org/works/W4388281992.grobid-xml"},"referenced_works_count":42,"referenced_works":["https://openalex.org/W181390625","https://openalex.org/W224846134","https://openalex.org/W1270365442","https://openalex.org/W1570384079","https://openalex.org/W1667165204","https://openalex.org/W1979198238","https://openalex.org/W1997927852","https://openalex.org/W1998743370","https://openalex.org/W2006830613","https://openalex.org/W2012041061","https://openalex.org/W2031753087","https://openalex.org/W2035565766","https://openalex.org/W2042871140","https://openalex.org/W2050146684","https://openalex.org/W2053655083","https://openalex.org/W2058514560","https://openalex.org/W2088409801","https://openalex.org/W2113723505","https://openalex.org/W2114297365","https://openalex.org/W2116988722","https://openalex.org/W2139647937","https://openalex.org/W2161798353","https://openalex.org/W2164768649","https://openalex.org/W2313404644","https://openalex.org/W2494484377","https://openalex.org/W2546493596","https://openalex.org/W2557449628","https://openalex.org/W2560265152","https://openalex.org/W2595897327","https://openalex.org/W2604292070","https://openalex.org/W2611093886","https://openalex.org/W2622376831","https://openalex.org/W2979559266","https://openalex.org/W3059816327","https://openalex.org/W3105004193","https://openalex.org/W3125246470","https://openalex.org/W3143328915","https://openalex.org/W3143835353","https://openalex.org/W4214562929","https://openalex.org/W4240494000","https://openalex.org/W4255043773","https://openalex.org/W4255272544"],"related_works":["https://openalex.org/W1550206120","https://openalex.org/W2386803684","https://openalex.org/W1971337326","https://openalex.org/W2073389045","https://openalex.org/W3178402891","https://openalex.org/W651058035","https://openalex.org/W143964308","https://openalex.org/W2046078371","https://openalex.org/W4315750325","https://openalex.org/W1973780821"],"abstract_inverted_index":{"Complex":[0],"systems":[1,78],"often":[2],"produce":[3],"multifractal":[4,32,35],"signals":[5],"defined":[6,40],"by":[7,41],"stationary":[8],"increments":[9],"that":[10,23,58],"exhibit":[11],"power-law":[12],"scaling":[13,21,47],"properties.":[14],"The":[15,34,155],"Legendre":[16],"transform":[17,66,120],"of":[18,45,57,67,76,97,151,161,169,173],"the":[19,25,31,46,52,63,68,84,92,112,141,149,170,174],"domain-dependent":[20],"function":[22,48],"defines":[24],"power":[26],"law":[27],"is":[28],"known":[29,137],"as":[30],"spectrum.":[33],"spectrum":[36],"can":[37],"also":[38],"be":[39],"a":[42,105,116,165],"power-series":[43],"expansion":[44],"and":[49,73,125,146,158],"in":[50,164],"practice":[51],"first":[53],"two":[54],"leading":[55],"coefficients":[56,175],"series":[59],"are":[60],"estimated":[61],"from":[62,83,115,177],"discrete":[64,117],"wavelet":[65,119],"signal.":[69],"To":[70],"quantify,":[71],"validate,":[72],"compare":[74],"simulations":[75],"complex":[77],"with":[79,95,136],"data":[80,180],"collected":[81],"empirically":[82],"actual":[85],"system,":[86],"practitioners":[87],"require":[88],"methods":[89],"for":[90,111,143],"approximating":[91],"variance":[93,172],"associated":[94],"estimates":[96],"these":[98],"coefficients.":[99],"In":[100],"this":[101,144],"work,":[102],"we":[103],"generalize":[104],"previously":[106],"developed":[107],"semi-parametric":[108],"statistical":[109],"model":[110,160],"values":[113],"extracted":[114,176],"multi-scale":[118],"to":[121,133,139,147],"include":[122],"both":[123],"within-scale":[124],"between-scale":[126,159],"covariance":[127,162],"dependencies.":[128],"We":[129],"employ":[130],"multiplicative":[131],"cascades":[132],"simulate":[134],"multifractals":[135],"parameters":[138],"illustrate":[140],"necessity":[142],"generalization":[145],"test":[148],"precision":[150],"our":[152],"improved":[153],"model.":[154],"combined":[156],"within-":[157],"results":[163],"more":[166],"accurate":[167],"estimate":[168],"expected":[171],"an":[178],"empirical":[179],"set.":[181]},"counts_by_year":[{"year":2025,"cited_by_count":2}],"updated_date":"2026-05-21T06:26:12.895304","created_date":"2025-10-10T00:00:00"}