Estimating the p-variation index of a sample function: An application to financial data set
Statistics Theory
2007-06-13 v1 Probability
Statistics Theory
Abstract
This paper modifies a box-counting method of estimating a fractal dimension of a graph, and applies it to estimate the roughness of a sample function of a stochastic process such as a Levy process or a Gaussian process with stationary increments
Cite
@article{arxiv.math/0012098,
title = {Estimating the p-variation index of a sample function: An application to financial data set},
author = {R. Norvaisa and D. M. Salopek},
journal= {arXiv preprint arXiv:math/0012098},
year = {2007}
}
Comments
24 pages, 6 figures, LaTex