Large deviations formalism for multifractals

For a wide class of measures, the multifractal spectrum is shown to exist iff an appropriate large deviations principle holds, in which case the spectrum is directly obtained from the corresponding rate function. A large deviations tool, enabling the use of the Gärtner-Ellis theorem for the computation of this rate function, is developed, and its effectivity is demonstrated.

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Year of publication:	1999
Authors:	Zohar, Gady
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 79.1999, 2, p. 229-242
Publisher:	Elsevier
Subject:	Multifractal spectrum Large deviations

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875803