Estimating the p-variation index of a sample function: An application to financial data set

Details Estimating the p-variation index of a sample function: An application to financial data set Estimating the p-variation index of a sample function: An application to financial data set

2000-12-12

arxiv.org/abs/math/0012098v1

Mathematics

Statistics Theory

24 pages, 6 figures, LaTex

Scientific paper

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

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