Measuring the roughness of random paths by increment ratios
Résumé
A statistic based on increment ratios (IR) is defined and studied for measuring the roughness of random paths. The main advantages of this statistic are invariance with respect to smooth additive or multiplicative trends and applicability to infinite variance processes. The existence of the IR statistic limit (called the IR-roughness) is closely related to the existence of a tangent process. Three particular cases where the IR-roughness exists and is explicitly computed are considered. Firstly, for a diffusion process with smooth diffusion and drift coefficients, the IR-roughness coincides with the IR-roughness of a Brownian motion and its convergence rate is obtained. Secondly, the case of rough Gaussian processes is studied in detail under general assumptions which do not require stationarity conditions. Thirdly, the IR-roughness of a Lévy process with $\alpha-$stable tangent process is established and can be used to estimate the fractional order $\alpha \in (0,2)$ following a central limit theorem.
Origine : Fichiers produits par l'(les) auteur(s)