Hello,
I work in multifractal analysis of processes and I make my spectrum simulations or p-exponents calculations with Matlab. Indeed, H. Wendt developed a toolbox on Matlab to make these simulations (https://www.irit.fr/~Herwig.Wendt/software.html). But I have several problems:
- I dont like Matlab
- Mathematica has developed many tools for wavelet analysis: CWT, DWT, etc.
- I like Mathematica.
I would like to create two codes to determine the multifractal spectrum in two different ways: 1. Compute the spectrum with Wavelet Leaders. 2. Compute the spectrum with WTMM (Wavelet transform modulus maxima). In the thesis of H. Wendt (https://www.irit.fr/~Herwig.Wendt/data/ThesisWendt.pdf), these methods are explained in detail.
The aim for the moment is to create a code with Wavelet Leader and to run this code for sample processes: fBm (fractional Brownian motion), economic or images
I would like to have the experience of this community: Does such code exist? Are there any books? Your advice and remarks :).
Thanks!
Best regards,
Guillaume Saës
PS : Sorry for my English ^^