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

DOI10.3150/12-BEJ489MaRDI QIDQ2444671zbMATH OpenOpenAlexFDO

Authors 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, https://projecteuclid.org/euclid.bj/1390407292

zbMATH Keywords

\(p\)-variationsmultifractal random measuremultifractal random walkscaling function

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Random measures (60G57) Nonparametric estimation (62G05)

Abstract: In this paper, we prove central limit theorems for bias reduced estimators of the structure function of several multifractal processes, namely mutiplicative cascades, multifractal random measures, multifractal random walk and multifractal fractional random walk as defined by Lude~{n}a [Ann. Appl. Probab. 18 (2008) 1138-1163]. Previous estimators of the structure functions considered in the literature were severely biased with a logarithmic rate of convergence, whereas the estimators considered here have a polynomial rate of convergence.

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Cites work

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Cited in

(7)

• Confidence intervals for the scaling function of multifractal random walks
• Estimation of Rényi exponents in random cascades
• Multifractal detrended fluctuation analysis: practical applications to financial time series
• Difference based estimators and infill statistics
• Assessing relative volatility/ intermittency/energy dissipation
• BOUNDS ON THE SUPPORT OF THE MULTIFRACTAL SPECTRUM OF STOCHASTIC PROCESSES
• NEW INSIGHTS INTO THE ESTIMATION OF SCALING EXPONENTS

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