{"id":"W2109867960","doi":"10.3386/w9839","title":"Regime-Switching and the Estimation of Multifractal Processes","year":2003,"lang":"en","type":"report","venue":"National Bureau of Economic Research","topic":"Complex Systems and Time Series Analysis","field":"Economics, Econometrics and Finance","cited_by":13,"is_retracted":false,"has_abstract":true,"ca_institutions":"University of British Columbia","funders":"","keywords":"Autoregressive model; Outlier; Multifractal system; Econometrics; Volatility (finance); Sample (material); Stochastic process; Computer science; Maximum likelihood; Realized variance; Process (computing); Estimation; Statistical physics; Mathematics; Statistics; Economics; Fractal; Physics","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.007941565,0.0001746471,0.0009319892,0.0008002974,0.0001631846,0.00008651684,0.0004457441,0.0002088927,0.0005116563],"category_scores_gemma":[0.005028529,0.0001544086,0.0002005121,0.0003214122,0.0003341917,0.0001987476,0.0001753128,0.000384403,0.00005675096],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0004137387,"about_ca_system_score_gemma":0.0009267539,"about_ca_topic_candidate":true,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.008183816,"about_ca_topic_score_gemma":0.0002902587,"domain_scores_codex":[0.9974836,0.0000797902,0.001418098,0.0004609574,0.0003270291,0.0002305805],"domain_scores_gemma":[0.9959368,0.001144827,0.001402741,0.0004458323,0.001019737,0.00005005414],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.00006354632,0.00005391467,0.001222021,0.0009281915,0.0005183968,5.272323e-7,0.0002438767,0.001759205,0.000002665747,0.9841281,0.009090527,0.001989098],"study_design_scores_gemma":[0.001152772,0.00005242943,0.0004208183,0.0001788236,0.00002830218,0.00002299429,0.0001533861,0.03013767,0.00004182439,0.9270729,0.04047351,0.0002645919],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"other","genre_gemma":"empirical","genre_scores_codex":[0.01239558,0.02045618,0.0003120489,0.002228535,0.000463301,0.001108983,0.0003985017,0.00001251599,0.9626244],"genre_scores_gemma":[0.98826,0.002977351,0.000501228,0.000007903688,0.0002205327,0.00007381067,0.0001228028,0.00003357241,0.007802775],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.9758645,"threshold_uncertainty_score":0.9984208,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.3012765909170093,"score_gpt":0.4483797974403371,"score_spread":0.1471032065233278,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}