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

R. Norvaisa·D. M. Salopek
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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

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R. Norvaisa, D. M. Salopek. 2000-12-12. Estimating the p-variation index of a sample function: An application to financial data set. https://arxiv.org/abs/math/0012098

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