Bayesian estimation for the multifractality parameter

TL;DR: A Bayesian estimation procedure for the multifractality (or intermittence) parameter is proposed that yields significantly improved estimation performance for small sample sizes.

Abstract: Multifractal analysis has matured into a widely used signal and image processing tool. Due to the statistical nature of multifractal processes (strongly non-Gaussian and intricate dependence) the accurate estimation of multifractal parameters is very challenging in situations where the sample size is small (notably including a range of biomedical applications) and currently available estimators need to be improved. To overcome such limitations, the present contribution proposes a Bayesian estimation procedure for the multifractality (or intermittence) parameter. Its originality is threefold: First, the use of wavelet leaders, a recently introduced multiresolution quantity that has been shown to yield significant benefits for multifractal analysis; Second, the construction of a simple yet generic semi-parametric model for the marginals and covariance structure of wavelet leaders for the large class of multiplicative cascade based multifractal processes; Third, the construction of original Bayesian estimators associated with the model and the constraints imposed by multifractal theory. Performance are numerically assessed and illustrated for synthetic multifractal processes for a range of multifractal parameter values. The proposed procedure yields significantly improved estimation performance for small sample sizes.