An Estimate of the Fractal Index Using Multiscale Aggregates

John‐Michel Poggi and Marie‐Claude Viano

Journal of Time Series Analysis, 1998, vol. 19, issue 2, 221-233

Abstract: We study a family of estimators of the fractal index of a Gaussian process based on the quadratic deviations at different aggregation scales. The estimators are convergent and asymptotically Gaussian when suitably normalized. Confidence intervals are provided. These asymptotic results hold for a large family of stationary‐increment models including fractional Brownian motions with square‐integrable spectral density. The estimates are applied to the analysis of an electrical signal

Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:19:y:1998:i:2:p:221-233

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