Measuring the roughness of a signal

Source abstract

We study the non-parametric estimation of the roughness of a path from discretely sampled observations. Our approach is based on the concept of normalized power variation of a path. The estimator identifies a variation index by comparing coarse increments with local sums of fine increments. We prove pathwise consistency under Hölder regularity, nondegenerate coarse critical power sums, uniform local bounds on fine critical power sums, and separation of the two sampling scales and obtain a convergence rate for the estimator. Neither convergence of critical variation nor monotonicity of the finite-sample statistic is required. The result applies to fractional Brownian motion under an explicit dyadic sampling rule and to Schauder series with bounded coefficients bounded away from zero. For signed Takagi--Landsberg functions we obtain a uniform asymptotic formula and a quantitative bound for every root of the estimating equation in a fixed parameter interval. We illustrate the results with numerical experiments for Takagi-- Landsberg functions and fractional Brownian motion.