Linearization effect in multifractal analysis: insights from the random energy model

DOI10.1016/J.PHYSD.2011.04.016zbMATH Open1223.37104arXiv1012.3688OpenAlexW2040380425MaRDI QIDQ720688FDOQ720688

Eric Bertin, Marc Mézard, Patrice Abry, Florian Angeletti

Publication date: 11 October 2011

Published in: Physica D (Search for Journal in Brave)

Abstract: The analysis of the linearization effect in multifractal analysis, and hence of the estimation of moments for multifractal processes, is revisited borrowing concepts from the statistical physics of disordered systems, notably from the analysis of the so-called Random Energy Model. Considering a standard multifractal process (compound Poisson motion), chosen as a simple representative example, we show: i) the existence of a critical order $q^{*}$ beyond which moments, though finite, cannot be estimated through empirical averages, irrespective of the sample size of the observation; ii) that multifractal exponents necessarily behave linearly in $q$, for $q>q^{*}$. Tayloring the analysis conducted for the Random Energy Model to that of Compound Poisson motion, we provide explicative and quantitative predictions for the values of $q^{*}$ and for the slope controlling the linear behavior of the multifractal exponents. These quantities are shown to be related only to the definition of the multifractal process and not to depend on the sample size of the observation. Monte-Carlo simulations, conducted over a large number of large sample size realizations of compound Poisson motion, comfort and extend these analyses.

Full work available at URL: https://arxiv.org/abs/1012.3688

zbMATH Keywords

truncated momentsmultifractal analysisrandom energy modelcompound Poisson motionlinearization effectmoment dominant contributions

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Time series analysis of dynamical systems (37M10)

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