Estimating the scaling function of multifractal measures and multifractal random walks using ratios

DOI10.3150/12-BEJ489zbMath1398.60059arXiv1102.5176MaRDI QIDQ2444671

Carenne Ludeña, Philippe Soulier

Publication date: 10 April 2014

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1102.5176

zbMATH Keywords

scaling function; multifractal random walk; \(p\)-variations; multifractal random measure

Mathematics Subject Classification ID

62G05: Nonparametric estimation

60F05: Central limit and other weak theorems

60G22: Fractional processes, including fractional Brownian motion

60G57: Random measures

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