Continuous Large Deviation Multifractal Spectrum: Definition and Estimation

The large deviation multifractal spectrum gives important statistical informations on irregular measures. However it is difficult to estimate. In this paper, we propose two new definitions of the large deviation spectrum better adapted to the design of various estimators. They rely on the computation of the Lebesgue measure of the reunion of all intervals of same size whose coarse grain Holder exponent is equal to a Hoder exponent. In particular, we introduce the continuous large deviation spectrum for which we construct different estimators. We finally show some numerical results obtained on both deterministic and random synthetical signals.