In this paper, we develop a new multiscale modeling framework for characterizing positive-valued data with longrange-dependent correlations (1=f noise). Using the Haar wavelet transform and a special multiplicative structure on the wavelet and scaling coefficients to ensure positive results, the model provides a rapid O(N) cascade algorithm for synthesizing N-point data sets. We study both the second-order and multifractal properties of the model, the latter after a tutorial overview of multifractal analysis. We derive a scheme for matching the model to real data observations and, to demonstrate its effectiveness, apply the model to network traffic synthesis. The flexibility and accuracy of the model and fitting procedure result in a close fit to the real data statistics (variance-time plots and moment scaling) and queuing behavior. Although for illustrative purposes we focus on applications in network traffic modeling, the multifractal wavelet model could be useful in a number of other areas involving positive data, including image processing, finance, and geophysics.

This paper has two main objectives. First, it develops the multifractal formalism in a context suitable for both, measures and functions, deterministic as well as random, thereby emphasizing an intuitive approach. Second, it carefully discusses several examples, such as the binomial cascades and self-similar processes with a special eye on the use of wavelets. Particular attention is given to a novel class of multifractal processes which combine the attractive features of cascades and self-similar processes. Statistical properties of estimators as well as modelling issues are addressed.

We define a large class of multifractal random measures and processes with arbitrary loginfinitely divisible exact or asymptotic scaling law. These processes generalize within a unified framework both the recently defined log-normal Multifractal Random Walk processes (MRW) [33, 3] and the log-Poisson “product of cynlindrical pulses” [7]. Their construction involves some “continuous stochastic multiplication” [36] from coarse to fine scales. They are obtained as limit processes when the finest scale goes to zero. We prove the existence of these limits and we study their main statistical properties including non degeneracy, convergence of the moments and multifractal scaling.

. We show that the sample paths of most L'evy processes are multifractal functions and we determine their spectrum of singularities. Key Words. L'evy processes, multifractals, Holder singularities, Hausdorff dimensions, spectrum of singularities. AMS Classification. 28A80, 60G17, 60G30, 60J30, A L'evy process X t (t 0) valued in IR d is, by definition, a stochastic process with stationary independent increments: X t+s \Gamma X t is independent of the (X v ) 0vt and has the same law as X s . Brownian motion and Poisson processes are examples of L'evy processes that can be qualified as monofractal; for instance the Holder exponent of the Brownian motion is everywhere 1=2 (the variations of its regularity are only of a logarithmic order of magnitude). These two examples are not typical: we will see that the other L'evy processes are multifractal provided that their L'evy measure is neither too small nor too large near zero. Furthermore their spectrum of singularities depends precise...

This is an overview of a relatively recent application of long-range dependence (LRD) to the area of communication networks, in particular to problems concerned with the dynamic nature of packet flows in high-speed data networks such as the Internet. We demonstrate that this new application area offers unique opportunities for significantly advancing our understanding of LRD and related phenomena. These advances are made possible by moving beyond the conventional approaches associated with the wide-spread "black-box" perspective of traditional time series analysis and exploiting instead the physical mechanisms that exist in the networking context and that are intimately tied to the observed characteristics of measured network traffic. In order to describe this complexity we provide a basic understanding of the design, architecture and operations of data networks, including a description of the TCP/IP protocols used in today's Internet. LRD is observed in the large scale behavior of the data traffic and we provide a physical explanation for its presence. LRD tends to be caused by user and application characteristics and has little to do with the network itself. The network affects mostly small time scales, and this is why a rudimentary understanding of the main protocols is important. We illustrate why multifractals may be relevant for describing some aspects of the highly irregular traffic behavior over small time scales. We distinguish between a time-domain and wavelet-domain approach to analyzing the small time scale dynamics and discuss why the wavelet-domain approach appears to be better suited than the time-domain approach for identifying features in measured traffic (e.g., relatively regular traffic patterns over certain time scales) that have a direct networking interpretation (e....

In this work, we study the new class of multifractal measures, which combines additive and multiplicative chaos, defined by νγ,σ = X b j≥1 −jγ j2 X 0 ≤ k ≤bj µ([kb −1 −j, (k + 1)b −j)) σ δkb−j (γ ≥ 0, σ ≥ 1), where µ is any positive Borel measure on [0, 1] and b is an integer ≥ 2. The singularities analysis of the measures νγ,σ involves new results on the mass distribution of µ when µ describes large classes of multifractal measures. These results generalize ubiquity theorems associated with the Lebesgue measure. Under suitable assumptions on µ, the multifractal spectrum of νγ,σ is linear on [0, hγ,σ] for some critical value hγ,σ, and then it is strictly concave on the right of hγ,σ, and deduced from the one of µ by an affine transformation. This untypical shape is the result of the combination between Dirac masses and atomless multifractal measures. These measures satisfy multifractal formalisms. These measures open interesting perspectives in modeling discontinuous phenomena.

This paper investigates the Multifractal Model of Asset Returns, a class of continuous-time processes that incorporate the thick tails and volatility persistence exhibited by many financial time series. The simplest version of the model compounds a Brownian Motion with a multifractal time-deformation process. Prices follow a semi-martingale, which precludes arbitrage in a standard two-asset economy. Volatility has long memory, and the highest finite moments of returns can take any value greater than two. The local variability of the process is highly heterogeneous, and is usefully characterized by the local Hölder exponent at every instant. In contrast with earlier processes, this exponent takes a continuum of values in any time interval. The model also predicts that the moments of returns vary as a power law of the time horizon. We confirm this property for Deutsche Mark/U.S. Dollar exchange rates and several equity series. We then develop an estimator, and infer a parsimo...

This paper presents the multifractal model of asset returns (“MMAR”), based upon

We report results on the scaling properties of changes in contrast of natural images in different visual environments. This study confirms the existence, in a vast class of images, of a multiplicative process relating the variations in contrast seen at two different scales, as was found in [4, 5]. But it also shows that the scaling exponents are not universal: Even if most images follow the same type of statistics, they do it with different values of the distribution parameters. Motivated by these results, we also present the analysis of a generative model of images that reproduces those properties and that has the correct power spectrum. Possible implications for visual processing are also discussed.

Abstract—We propose to model the statistics of natural images, thanks to the large class of stochastic processes called Infinitely Divisible Cascades (IDCs). IDCs were first introduced in one dimension to provide multifractal time series to model the so-called intermittency phenomenon in hydrodynamical turbulence. We have extended the definition of scalar IDCs from one to N dimensions and commented on the relevance of such a model in fully developed turbulence in [1]. In this paper, we focus on the particular 2D case. IDCs appear as good candidates to model the statistics of natural images. They share most of their usual properties and appear to be consistent with several independent theoretical and experimental approaches of the literature. We point out the interest of IDCs for applications to procedural texture synthesis. Index Terms—Stochastic processes, picture/image generation, fractals, image processing and computer vision, statistical, image models. 1