Multifractal products of stochastic processes: construction and some basic properties
Mannersalo , Petteri
Riedi, Rudolf H.
Norros , Ilkka
Multifractal; stationary increments; network modelling
In various fields, such as teletraffic and economics, measured times series have been reported to adhere to multifractal scaling. Classical cascading measures possess multifractal scaling, but their increments form a non-stationary process. To overcome this problem we introduce a construction of random multifractal measures based on iterative multiplication of stationary stochastic processes, a special form of T-martingales. We study <i>L</i><sup>2</sup>-convergence, non-degeneracy and continuity of the limit process. Establishing a power law for its moments we obtain a formula for the multifractal spectrum and hint at how to prove the full formalism.