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- W4287831447 abstract "Multifractal analysis provides the theoretical and practical tools for describing the fluctuations of pointwise regularity in data and has led to many successful applications in signal and image processing. Originally limited to the analysis of single time series or images, a definition of multivariate multifractal analysis, i.e., the joint multifractal analysis of several data components, was recently proposed and was shown to effectively quantify local or transient dependencies in data regularity, beyond linear correlation. However, the accurate estimation of the associated matrix-valued joint multifractality parameters is notoriously difficult, thus limiting its practical usefulness. Leveraging a recent statistical model for bivariate multifractality, the goal of this work is to define and study Bayesian estimators designed to bypass this difficulty. Specifically, we study the original use of two different priors, combined with two different averages (arithmetic and Karcher means), for bivariate multifractal analysis. Monte Carlo simulations with synthetic data allow us to appreciate their relative performance and to conclude that our novel and original estimator based on a scaled inverse Wishart prior and the Karcher mean yields particularly favorable results with up to 5 times smaller root-mean-squared error than previous formulations." @default.
- W4287831447 created "2022-07-26" @default.
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- W4287831447 date "2022-08-29" @default.
- W4287831447 modified "2023-10-18" @default.
- W4287831447 title "A Comparison of Bayesian Estimators for the Parameters of the Bivariate Multifractal Spectrum" @default.
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- W4287831447 doi "https://doi.org/10.23919/eusipco55093.2022.9909838" @default.
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