Apparent multifractality of self-similar Lévy processes

DOI10.1088/1361-6544/AA6F2DMaRDI QIDQ4978477zbMATH OpenOpenAlexFDO

Authors Marco Zamparo

Publication date 11 August 2017

Published in Nonlinearity (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1511.04312

zbMATH Keywords

scaling lawsempirical momentsLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Strong limit theorems (60F15) Stable stochastic processes (60G52) Self-similar stochastic processes (60G18)

Abstract: Scaling properties of time series are usually studied in terms of the scaling laws of empirical moments, which are the time average estimates of moments of the dynamic variable. Nonlinearities in the scaling function of empirical moments are generally regarded as a sign of multifractality in the data. We show that, except for the Brownian motion, this method fails to disclose the correct monofractal nature of self-similar L'evy processes. We prove that for this class of processes it produces apparent multifractality characterised by a piecewise-linear scaling function with two different regimes, which match at the stability index of the considered process. This result is motivated by previous numerical evidence. It is obtained by introducing an appropriate stochastic normalisation which is able to cure empirical moments, without hiding their dependence on time, when moments they aim at estimating do not exist.

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