Fractals, Vol. 10, No.

1 (2002) 117–129
c World Scientific Publishing Company

LARGE DEVIATIONS OF
MULTIFRACTAL MEASURES

DANIELE VENEZIANO∗
Department of Civil and Environmental Engineering
Massachusetts Institute of Technology
Cambridge, Massachusetts 02139, USA
venezian@mit.edu

Received December 7, 2000; Accepted January 30, 2001

Abstract
We analyze the extremes of stationary multifractal measures using large deviation theory. We
consider various cases involving discrete multiplicative cascades: scalar or vector cascades with
dependent or independent generators, bare or dressed measures, and marginal (single-point) or
joint (multi-point) extremes. In each case, we obtain the scaling behavior of the probability
of large deviations as the resolution of the cascade diverges. Existing rough exponential limits
for scalar cascades are confirmed, whereas for other cases our scaling relationships differ from
previously published results. For scalar cascades, we refine the rough limits by obtaining the
asymptotic pre-factor to the exponential term. Based on these refined asymptotics, we propose
a variant to the Probability Distribution/Multiple Scaling (PDMS) technique to estimate the
co-dimension function c(γ).

1. INTRODUCTION quality one is concerned with the probability that

During the past three decades, multifractal pro-
cesses have been used to represent a wide
range of physical phenomena; see Schertzer and
Lovejoy (1996)1 for a review. In many applications,
interest is in the probability of rare events. For
example, in the case of precipitation and air
∗
Correspondence to: Department of Civil and Environmental Engineering, MIT, Room 1-348, Cambridge, MA 02139.
Tel: (617) 253-7199, Fax: (617) 253-6044.
the average rainfall intensity or the average concen-
tration of a pollutant in a space-time region of given
size exceeds some critical high level.
Since multifractal measures are statistically
invariant under certain renormalization opera-
tions,2 – 4 one may expect that the extremes in

117
118 D. Veneziano
regions of different size should display some scaling
behavior. Indeed, scaling is manifested in the fact
that high-level crossing sets are fractal (in a sense
that will be clarified later) with fractal dimension
that depends on the level.5 – 7
In the past, multifractal extremes have been
examined using rather ad hoc methods. Here, we
use the close analogy between multifractal extremes
and large deviations for sums of random variables to
verify, correct and expand existing results on mul-
tifractal measures generated by discrete cascades.
First, we introduce some notation. Consider a
multiplicative cascade that starts at level 0 as a uni-
form unit measure in the unit d-dimensional cube
Sd . The cascade has integer multiplicity m. This
means that, after n cascade levels, Sd is partitioned
into mnd cubic tiles Tni , i = 1, . . . , mnd , of side
length m−n . The measure density inside Tni is ob-
tained by multiplying the measure density in the
parent tile at level n−1 by a mean-one non-negative
random variable Yni . The set of variables {Yni } is
called the generator of the cascade. In the classic
cascade scheme, the Yni are independent copies of
a random variable Y , but one may consider gener-
ators with dependencies both within and between
levels. Except for Sec. 4.3, we shall assume that
the cascade generator is independent.
When the cascade process is terminated at a
finite level n, we say that the cascade has been
developed to level n or equivalently to resolution
r = mn . The multifractal properties of fully
developed (n → ∞) cascades have been extensively
studied; see for example, Gupta and Waymire
(1993), Mandelbrot (1974), and Kahane and
Peyriere (1976) for the case of independent
generator,7 – 9 and Waymire and Williams (1995 and
1996) for cases with dependent generators.10,11
Our focus is on εn , the average measure den-
sity inside a cascade tile at level n. We distinguish
between two such average densities: the bare den-
sity εn, b , which refers to the cascade developed to
level n, and the dressed density εn, d , which refers
to the fully developed cascade (for more on the
bare/dressed distinction, see Ref. 6). In the case
d Q
of independent generators, εn, b = ni=1 Yi where
the variables Yi are independent copies of Y , and
d
εn, d = εn, b · Z where Z is a “dressing factor” inde-
pendent of εn, b . The factor Z has the same distri-
bution as the dressed measure in Sd .
We are specifically interested in the large-
deviation properties of εn, b and εn, d , i.e. in the
behavior for large n of exceedance probabilities of
the type P [εn ≥ s], where εn is either εn, b or εn, d
and s varies with n in such a way that P [εn ≥ s] →
0 as n → ∞. One important case that we study in
detail is when s = mnγ where mn is the resolution
and γ is a constant larger than E[log m Y ]. For this
case, it is well known that5,6,12
P [εn, b ≥ mnγ ] ∼ m−ncb(γ) (1)
where ∼ denotes equality for large n up to a
factor g(n, γ) that varies slowly with the resolu-
tion mn . If the factor g is mildly dependent on n,
then Eq. (1) allows one to interpret the quantity
d − cb (γ) as the fractal dimension of the exceedance
sets Ωγ, n = {Tni : εn, b (Tni ) ≥ mnγ }, where Tni is
the generic cascade tile at level n. For this reason,
cb (γ) is known as the co-dimension function of the
measure.5,6 The fact that cb (γ) varies with the ex-
ponent γ is the origin of the term “multi-fractality.”
Notice that the exceedance sets Ωγ, n for lower cas-
cade levels n are not obtained by coarsening the
exceedance sets at higher levels. Therefore, cb (γ) is
not the co-dimension of any single set.
If Y has finite moments of all orders, then cb (γ)
in Eq. (1) is the Legendre transform of Kb (q) =
logm E[Y q ],
cb (γ) = max{qγ − Kb (q)} . (2)
q
The function Kb (q) is sometimes called the (bare)
moment scaling function of the cascade because the
bare moments E[εqn, b ] vary with n as E[εqn, b ] =
mnKb(q) .
It is physically impossible to observe bare mea-
sures at different levels n. Hence the relations in
Eqs. (1) and (2) have limited practical interest.
What is more relevant for application are the cor-
responding relationships for the dressed measure
densities εn, d . The main novelty when passing
from bare to dressed densities is that, also when
Y has finite moments of all orders, the moments of
the dressed density εn, d of order higher than some
finite value q ∗ may diverge. The critical order q ∗ is
obtained from the conditions q ∗ > 1 and Kb (q ∗ ) =
d(q ∗ − 1), where d is the dimension of the space
where the cascade is defined.9 When q ∗ exists, the
dressing factor Z and the measure density εn, d have
∗
algebraic upper tails of the type P [εn, d ≥ s] ∼ s−q ,
as s → 8.
The moment scaling function Kb (q) may be
obtained from the bare densities as Kb (q) =
 Large Deviations of Multifractal Measures 119

1
n logm E[εqn, b ] (independent of n). The cor- determine the asymptotic scaling of P {εn, b ∈
responding asymptotic moment scaling function mnB }, where B is a given region of Rk . The third
for the dressed densities is Kd (q) = limn→∞ extension considers vector-valued cascades with de-
1 q 1 q
n logm E[εn, d ] = Kb (q) + limn→∞ n logm E[Z ]. pendent generators. Section 5 summarizes our main
Since E[Z q ] diverges for q ≥ q ∗ , findings and mentions other implications of large
( deviation theory on multifractal extremes.
Kb (q), q < q∗
Kd (q) = . (3)
∞, q ≥ q∗
2. ROUGH AND REFINED
Schertzer and Lovejoy (1991),13
p. 56, observe that LIMITS FOR LARGE
the dressed densities εn, d satisfy a large-deviation DEVIATIONS
relation analogous to Eq. (1),
A classic result in large deviations is as follows.17 – 21
Let Pn be the distribution of the average Sn =
P [εn, d ≥ mnγ ] ∼ m−ncd (γ) (4)
n (X1 + X2 + · · · + Xn ) of n independent variables
1

with common distribution F . Suppose that the

where the dressed co-dimension function cd (γ) is the
moment generating function M (q) = E[eqX ] is
Legendre transform of Kd (q) in Eq. (3),
finite for all q and that X is unbounded. Then the
cd (γ) = sup(γq − Kd (q)) sequence {Pn } satisfies the so-called large deviation
q principle with rate function
(
cb (γ), γ ≤ γ∗ I(γ) = sup{qγ − ln M (q)} . (6)
= (5)
cb (γ ∗ ) + q ∗ (γ − γ ∗ ), γ > γ∗ q

This means that, for any measurable set A of the

and γ ∗ is the slope of Kb (q) at q ∗ . Equation (5) is real line,
given by Schertzer and Lovejoy without a detailed
derivation. Gupta and Waymire (1993),7 p. 260, ln Pn (A)
lim = − inf I(t) . (7)
used Chernoff’s Theorem of large deviations to n→∞ n t∈A
obtain cd (γ) = cb (γ) for all γ. However, their argu-
Consider in particular the set A = [γ, ∞) where
ment is flawed for γ > γ ∗ . In Sec. 3.2, we shall
γ > E[X]. From monotonicity of the function I(·),
derive refined limits for P [εn, d ≥ mnγ ], which
one obtains inf t≥γ I(t) = I(γ) and Eq. (7) gives
confirm Eqs. (4) and (5) and give the asymptotic
pre-factor to m−ncd (γ) in Eq. (4). The refined ln P [Sn ≥ γ]
asymptotics are used to suggest a variant of the lim = −I(γ) . (8)
n→∞ n
Probability Distribution/Multiple Scaling (PDMS)
method of Lavallee et al. (1991),14 to estimate the Equations (6) and (8) correspond to Cramer’s
co-dimension function cb (γ) from data. Theorem.15
The paper is organized as follows. In Sec. 2, The requirement that K(q) < ∞ for all q can be
we recall some fundamental results in large devi- considerably relaxed. In fact, Eq. (7) is known to
ations due to Cramer (1938)15 and Bahadur and hold under the much milder condition that M (q) is
Ranga Rao (1960).16 In Sec. 3, we use these re- finite in an infinitesimal right and left neighborhood
sults to derive refined limits for P [εn, b ≥ mnγ ] of zero, i.e. under
and P [εn, d ≥ mnγ ]. Section 4 makes three ex- 0 ∈ int(SM ), SM = {q : M (q) < ∞} (9)
tensions. The first extension is to the multi-point
case, for which we determine the asymptotic rough where int(SM ) is the interior of SM ; see for
scaling of P {[εn (x1 ), . . . , εn (xs )]T ∈ mnA }, where example Dembo and Zeitouni (1993), Sec. 2.2.1.18
{x1 , . . . , xs } is any given set of points in Rd , the It is also interesting that, under the condition in
measure density εn (xi ) is either εn, b or εn, d in the Eq. (9), there is a one-to-one correspondence be-
cascade tile of side length m−n that contains xi , A tween the functions M (q) and the distributions of X
is any measurable set in Rs , and r A = {ε : r −ε ∈ [den Hollander (2000), Sec. 1.4].19 Also the con-
A}. The second extension considers multivariate dition that X is unbounded can be relaxed; see
cascades for which the measure density is a vec- Varadhan (1984) for examples with bounded X for
tor ε with components ε1 , . . . , εk . In this case, we which Eqs. (6) and (8) hold.21
120 D. Veneziano

Under Eq. (9), it is possible to refine the expo- I(γ) as

nential limit in Eq. (8). In the case when X is (
continuous, Cramer15 has shown that M (q) = mKb (q/ ln(m))
. (12)
!−1/2 I(γ) = ln(m) · cb (γ)
[I 0 (γ)]2
P [Sn ≥ γ] = 2π n
I 00 (γ) Replacement of I(γ) = ln(m) · cb (γ) into Eq. (11)
gives
× e−nI(γ) (1 + o(1)) (10)
1
where I(γ) is the rate function in Eq. (8), and the lim logm P [εn, b ≥ mnγ ] = −cb (γ) (13)
n→∞ n
0 and 00 signs denote first and second derivative,

respectively. Similar asymptotic expansions for which implies Eq. (1).

cases when X is not continuous have been obtained
by Bahadur and Ranga Rao.16
3. LARGE DEVIATIONS
OF SCALAR CASCADES
Next, we use the results of Sec. 2 to obtain rough
and refined limits for P [εn, b ≥ mnγ ] and P [εn, d ≥
mnγ ], where εn, b and εn, d are the bare and dressed
measure densities generated by the cascade model
in Sec. 1.
3.1 Bare Densities
d Q d
The bare densities εn, b satisfy εn, b = ni=1 Yi =
mnSn , where Sn = n1 (X1 + X2 + · · · + Xn ) and Xi =
logm Yi . Therefore, using Eq. (8),
Similarly, the refined limit in Eq. (10) implies the
following asymptotic expansion of P [εn, b ≥ mnγ ]:
! !−1/2
[c0b (γ)]2
P [εn, b ≥ m ] = 2π
nγ
n ln(m)
c00b (γ)
× m−ncb (γ) (1 + o(1)) . (14)
Notice that the factor that multiplies the expo-
nential term is a separable √function of n and γ,
which depends on n as 1/ n. Therefore, for
n large, m−ncb(γ) over-estimates P [εn, b ≥ mnγ ].
Equation (14) holds for continuous generators Y .
Similar asymptotic expansions for non-continuous
generators can be obtained using results in Ref. 16.
3.2 Dressed Densities

1 For the case when the cascade generator is contin-

lim ln P [εn, b ≥ mnγ ] = −I(γ)
n→∞ n
where I(γ) is given by Eq. (6). The functions Kb (q)
and cb (γ) defined in Sec. 1 are related to M (q) and
(11) uous, refined limiting results for P [εn, d ≥ mnγ ] =
P [εn, b · Z ≥ mnγ ] are derived in the Appendix.
Using Eq. (14) and the upper tail of the distribu-
tion of Z, we find [see Eqs. (A.5) and (A.14)]

 !−1/2

 [c0 (γ)]2
 0
 E[Z cb (γ) ] 2π b00 n ln(m) m−ncb(γ) (1 + o(1)), for γ < γ ∗

 cb (γ)
P [εn, d ≥ mnγ ] = (15)



 f 0 (n(γ − γ ∗ )) −ncb (γ ∗ )−q∗ (γ−γ ∗ )

 Z m (1 + o(1)) , for γ > γ ∗
q∗

∗
where fZ 0 is the probability density function of ∗ ≥mnγ ]
m−nc(γ ) with limn→∞ mn,−nc(γ
P [ε
0
d
∗) = ∞, but we
Z 0 = logm (Z). Except for the factor E[Z cb (γ) ], the do not obtain an asymptotic expansion compara-
expansion in Eq. (15) for γ < γ ∗ is the same as that ble to Eq. (15). The above results confirm and for
for bare densities in Eq. (14). For γ = γ ∗ , we find γ 6= γ ∗ refine the rough exponential limits in
∗
in the Appendix the rough limit P [εn, d ≥ mnγ ] ∼ Eqs. (4) and (5).
 Large Deviations of Multifractal Measures 121

3.3 Estimation of cb (γ) Evaluation of the estimators ĉb1 (γ) and ĉb2 (γ) is not
easy due to the complicated effects of the dress-
There are two main methods to estimate the co- ing factor Z on the probability P [εn, d ≥ mnγ ].
dimension function cb (γ). One is to first estimate However, one may get an indication of their perfor-
the moment scaling function Kb (q) and then take mance by applying the same estimation procedures
the Legendre transform of Kb (q). The other is to the bare probabilities in Eqs. (1) and (14). In
to use the PDMS method of Lavallee et al.14 The this case, one considers
PDMS method uses Eqs. (4) and (5) to find cb (γ),
γ < γ ∗ , as the slope of logm {P [εn, d ≥ mnγ ]} against 
 d
n, i.e. 
 ĉb1 (γ) = − logm {P [εn, b ≥ mnγ ]}
dn
. (18)
d 
 √
 ĉb (γ) = − d log { nP [εn, b ≥ mnγ ]}
ĉb1 (γ) = − logm {P [εn, d ≥ mnγ ]} . (16) 2 m
dn dn
In practice, the derivative is replaced with the slope Suppose for example that X = logm (Y ) has nor-
of the straight-line regression √ of logm {P [εn, d ≥ mal distribution with variance σ 2 and√mean value
nγ
m ]} against n. The factor 1/ n in Eq. (15) for −0.5σ 2 . Then P [εn, b ≥ mnγ ] = Φ(− n( σ2 + σγ ))
γ < γ ∗ suggests the alternative estimator where Φ is the standard normal cumulative distri-
d √ bution function and the derivatives in Eq. (18) have
ĉb2 (γ) = − logm { nP [εn, d ≥ mnγ ]} . (17) theoretical values
dn

     

 d d √ σ γ 1 xφ(x)

 − logm {P [εn, b ≥ m ]} = −
nγ
logm Φ − n + =
 dn dn 2 σ 2n ln(m) Φ(−x)
  (19)

 d √ 1 xφ(x)


− logm { nP [εn, b ≥ mnγ ]} = − −1
dn 2n ln(m) Φ(−x)
√
where φ is the standard normal density function and x = n( σ2 + σγ ). The exact co-dimension function of
x2
1
the cascade is cb (γ) = 2 ln(m) ( σγ + σ2 )2 = 2n ln(m) . Hence the bias factors of the estimators in Eq. (18) are


 d φ(x)

 B (γ, n) = − logm {P [εn, b ≥ mnγ ]}/cb (γ) =
 1 dn xΦ(−x)
. (20)

 d √ φ(x) 1


 B2 (γ, n) = − logm { n P [εn, b ≥ mnγ ]}/cb (γ) = − 2
dn xΦ(−x) x

Figure √ 1 shows plots of these bias factors against

x = n( σ2 + σγ ). For x < 1, both estimators are
highly biased. This is especially true for ĉb2 (γ).
However, convergence to 1 is faster for B2 (γ, n)
than for B1 (γ, n). For example, when x = 3,
ĉb2 (γ) is practically unbiased, whereas ĉb1 (γ) over-
estimates cb (γ) by about 10%.

4. EXTENSIONS
In this section, we extend the rough limits of the
previous section to multi-point and multivariate ex-
tremes and to extremes of cascades with dependent
√ σ γ
Fig. 1. Bias factors in Eq. (20) for different x = n( 2 + σ ). generators.
122 D. Veneziano

4.1 Multi-Point Extremes where A is a measurable set of Rs and mnA =

{mnε : ε ∈ A}. A similar generalization holds for
Schertzer and Lovejoy,13 p. 51, have generalized dressed densities.
Eq. (1) to multi-point extremes. Let {x1 , . . . , xs }
be any given set of points in Rd and denote by
εr, b (xi ) the bare measure density at location xi 4.2 Multivariate Extremes
when the cascade is developed to resolution r.
Schertzer and Lovejoy13 state that A theory of vector-valued multifractal measures
( ) based on Lie cascades has been developed by
\
s
P [εr, b (xi ) ≥ r γi ] ∼ r −cb, s (γ) (21) Schertzer and Lovejoy.1,3,13,22 These measures have
i=1 a renormalization property that in the most general
case involves groups of random transformations of
where γ is the vector of exponents γi and cb, s (γ) both the space and the vector field. Here, we con-
is the Legendre transform of the moment scaling sider the case of vector-valued measure densities
function Kb, s (q) that satisfies ε(B) = [ε1 (B), . . . , εk (B)]T , B ⊂ Rd , generated
( ) ( ) by discrete multiplicative cascades. At level 0, the
Y
s Y
s
E [εr, b (xi )] qi
=r Kb, s (q)
·E [ε1, b (xi )] qi
. measure densities εi are deterministic and uniform
i=1 i=1 inside the unit cube of Rd . We further assume that
(22) all the components of the cascade have multiplicity
m and follow the cascade scheme described in Sec. 1
Schertzer and Lovejoy13 further notice that the with generator {Y ni }, where the Y ni are indepen-
functions Kb, s (q) and cb, s (γ) in Eqs. (21) and (22) dent copies of a non-negative random vector Y . The
are sensitive to r and to the distances between the components Y1 , . . . , Yk of Y have mean value 1 and
points xi . are possibly dependent. In analogy with the scalar
We evaluate the exponent cb, s (γ) in Eq. (21) case, we are interested in the large deviations of the
using a more direct approach. Let no be the small- bare density vector εn, b as n → ∞.
est cascade level at which each point xi belongs to For this case, the analysis of Schertzer and
a different cascade tile and put n0 = n − no . Then Lovejoy,22 p. 33, uses a diagonal matrix-valued
the densities εn, b (xi ) are obtained as the product of moment scaling function K b (q), defined as
the bare densities at level no , εno ,b (xi ), and indepen-
dent factors εn0 ,i all with the distribution of εn0 (x). K b (q) = logm E{[diag(Yi )]q } = diag(Kb,i (q)) .
As n → ∞, the variables εno ,b (xi ) make a negligi- (25)
ble contribution to the scaling of P {∩si=1 [εn, b (xi ) ≥
mnγi ]}, and one obtains Notice that K b (q) in Eq. (25) does not reflect any
( ) P
s dependence that might exist among the variables
\
s −(n−no ) cb (γi )
Yj . Schertzer and Lovejoy (1995)22 also introduce
P [εn, b (xi ) ≥ mnγi ] ∼m i=1
(but do not explicitly define) a vector of singulari-
i=1
ties γ and a co-dimension function cb (γ) and state
P
s
−n cb (γi ) [see their Eq. (22)] that
∼m i=1 . (23)
P {εn, b ∈ Sn (γ)} ∼ m−ncb (γ) (26)
Hence,
Ps
Eq. (21) holds with exponent cb, s (γ) =
i=1 cb (γi ). The
P
Legendre transform of this expo- where Sn (γ) is the quadrant Sn (γ) = {ε: εi ≥
nent is Kb (q) = si=1 Kb (qi ), which is also the limit mnγi }. Next, we use large deviation theory to show
of Kb, s (q) in Eq. (22) for n → ∞. Through a sim- that Eq. (26) applies and evaluate the exponent
ilar argument one finds that, in the dressed case, cb (γ). We also show that a definition of the moment
the multi-point exceedance
P
probabilities scale with scaling function different from Eq. (25) is appropri-
exponent cd,s (γ) = si=1 cd (γi ). A generalization of ate for vectors. Finally, we consider the probability
Eq. (23) is content of regions of general shape, not necessarily
P {[εn, b (x1 ), . . . , εn, b (xs )]T ∈ mnA } quadrants.
  Cramer’s Theorem has the following multi-
P
s
−n inf cb (γi ) dimensional extension (e.g. Ref. 21, Sec. 4; or
∼m γ∈A i=1 (24) Ref. 19, Chap. 5). Let X 1 , X 2 , . . . , X n be
 Large Deviations of Multifractal Measures 123

independent copies of a random vector X with k I(γ) = ln(m) · cb (γ) . (31)

components and denote by Pn the joint distribu-
tion of the average S n = n1 (X 1 + X 2 + · · · + X n ). It also follows from S n = n1 logm εn, b that Pn (A) =
Suppose that the origin is an interior point of the P [Sn ∈ A} = P [εn, b ∈ mnA ]. Using this last rela-
T
set SM = {q : M (q) = E[eq X ] < ∞}. If X is tion and Eq. (31), Eq. (28) gives
unbounded, then the sequence {Pn } satisfies the
large deviation principle with rate function 1
lim logm P [εn, b ∈ mnA } = − inf cb (γ) . (32)
n→∞ n γ∈A
I(γ) = sup{q T γ − ln M (q)} . (27)
q To exemplify, we consider multivariate extensions
of the log-normal and beta cascades.
This means that, for any measurable set A ⊂ Rk ,
ln Pn (A) Example 4.1. (multivariate log-normal cas-
lim = − inf I(γ) . (28) cades). In this case, Y = eZ , where Z ∼
n→∞ n γ∈A
N (µ, Σ) and µi = − 12 Var[Zi ], so that E[Yi ] = 1.
Equation (28) is a multivariate extension of Eq. (7). Using properties of the multivariate normal distri-
Now we use Eq. (28) to obtain a scaling relation bution (e.g. Johnson and Kotz (1983),23 p. 39; or
for P {εn, b ∈ mnA }. We set X = logm Y where Varadhan (1984),12 p. 13), the functions M (q),
Y = [Y1 , . . . , Yk ]T is the random generator vector Kb (q) and cb (γ) are given by
of the cascade. For q a vector of moment orders   
 1 T
q1 , . . . , qk and γ a vector of components γ1 , . . . , γk , 

T
M (q) = exp q µ + (q Σq)

 2
we define the moment scaling function Kb (q) as 


  
 1 1 T
" # Kb (q) = logm M (q) = T
q µ + (q Σq) .
Y
k
 ln(m) 2
Yiqi 

Kb (q) = logm E = logm M (q ln(m)) 



i=1  1

 cb (γ) = (γ − µ)T Σ−1 (γ − µ)
(29) 2 ln(m)
(33)
and cb (γ) as the Legendre transform of Kb (q),
Example 4.2. (multivariate beta cascades).
cb (γ) = sup{γ T q − Kb (q)} . (30)
q In this case, Yi attains value zero with probabil-
ity 1 − Pi and value 1/Pi with probability Pi . Let
Then, in analogy with Eq. (13), P + be the probability that all Yi are nonzero. Then



 Xk

 K (q) = log P +− qi logm Pi

 b m
i=1
( (34)


 c (γ) = logm P , for γi ≤ logm Pi , i = 1, . . . , k
+


 b
∞, otherwise .

Notice that, if the set A does not intersect the
quadrant {ε : εi ≤ logm Pi }, then inf γ∈A cb (γ) = ∞
and P [εr, b ∈ r A ] = 0.
An extension to the multivariate case of the refine-
ment in Ref. 16 has been made by Ney (1983 and
1984).24,25 A complication that arises in spaces of
dimension d > 1 is that the asymptotic pre-factor
to the exponential term depends on the curvature
of the set A near the dominating point.
The previous results are for bare densities. A
general scaling theory for multivariate dressed den-
sities appears difficult. In the trivial case when
the cascade components are independent, cd (γ) =
Pk
i=1 cdi (γi ), where the functions cdi (·) are given by
Eq. (5) with (γi , γi∗ , qi∗ ) in place of (γ, γ ∗ , q ∗ ).
124 D. Veneziano

4.3 Extremes of Cascades with Notice that ±∞ are allowed in Eq. (35) both as
Dependent Generators limits and as elements of the sequence
{ n1 logm Mn (q)}. If the origin is an interior point
Up to now we have considered cascades with in-
of SK = {q : Kb (q) < ∞}, then by the Gartner-
dependent generators. Multifractal measures may
Ellis Theorem, Eq. (32) holds and the exponent
in general arise also from cascade constructions
cb (γ) in that equation is the Legendre transform
in which the variables Yni are dependent.10,11,26
of Kb (q) in Eq. (35). Although this result holds
For example, Carsteanu and Foufoula-Georgiou
under no further restriction on the dependence
(1996)27 have found evidence of such dependence in
structure of the generator, in the case of cascades
temporal rainfall. In the dependent case, one may
it is often natural to assume that Y 1 , Y 2 , . . . is
use the Gartner-Ellis Theorem28,29 to obtain large
a stationary Markov sequence. Next we give two
deviation properties of the cascade, as follows.
examples. In the first case, the sequence {X i }
Consider in general a vector-valued cascade with
is stationary Gaussian with no special correlation
generator {Y 1 , Y 2 , . . .} at a generic point x of the
unit cube Sd . The sequence {Y n } is the subset of structure. In the second example, we specialize the
the complete generator {Y ni } obtained by selecting results for the case when {X i } is an autoregressive
for each level n the index i of the tile that contains x. sequence.
P
Let X i = ln Y i and Mn (q) = E[exp{q T ni=1 X i }]
Example 4.3. ({X i } stationary Gaussian).
for n = 1, 2, . . . . The vectors X i are assumed to be
Suppose that {X i } is stationary Gaussian with
weakly dependent in the sense that
mean value µ and covariance function C i =
1
Kb (q) = lim logm Mn (q) ∈ [−∞, ∞] exists for all q . E[(X 0 −µ)(X i −µ)T ], i = 0, ±1, . . . , such that C =
n→∞ n P∞ Pn Pn
Pni=−∞ C i is finite. Then i=1 X i ∼ N (nµ, i=1
(35)
j=1 C i−j ) and

       
 1 X n X n   1 X
n−1 
Mn (q) = exp nqT µ + qT  C i−j  q = exp nq T µ + q T  (n − |i|)C i  q . (36)
 2   2 
i=1 j=1 i=−(n−1)

Hence
 
1 1 1 1
Kb (q) = lim ln Mn (q) = q T µ + q T Cq . (37)
ln(m) n→∞ n ln(m) 2

For conservation of the cascade mean as n → ∞, Example 4.4. ({Xi } autoregressive Gaussian).
it must be µ = − 12 v, where v is the vector whose As an example of Markov generator, suppose that
ith component is the ith diagonal element of C. {X i } satisfies X i = AX i−1 + BZ i , i = 1, 2, . . .
Hence where A is a k × k full rank matrix with absolute
 eigenvalues strictly less than 1 and the Z i are iid
 1

 K (q) = (q T v + q T Cq) normal vectors with mean value µ and covariance
 b 2 ln(m)
    matrix Σ. A restriction on µ and Σ to make the

 1 1 T −1 1 cascade (asymptotically) conservative in the mean

 cb (q) = γ− v C γ− v .
2 ln(m) 2 2 will be imposed later. The moment generating func-
(38) tion of Z is

Comparison with Eq. (33) shows that these are the  

TZ 1
same moment scaling and co-dimension functions as MZ (q) = E[eq ] = exp q T µ + qT Σq .
2
those of a cascade with independent generator and
ln Y ∼ N (− 12 v, C). (39)
 Large Deviations of Multifractal Measures 125

Following Bucklew (1990),17 p. 22, This implies that the asymptotic moment scaling
function Kb (q) and co-dimension function cb (γ) of
Y
n−1
the cascade are Kb (q) = logm (λ(q)) and cb (γ) =
Mn (q) = MZ ([(I −An−i )(I −A)−1 B]T q ). (40)
supq {qγ − Kb (q)} = ln(m) 1
I(γ ln(m)), respectively.
i=0
For the present case, Waymire and Williams10
Therefore, Kb (q) in Eq. (35) is (Theorem 2.1) have shown that the fully developed
cascade is non-degenerate if and only if Kb0 (1− ) < 1
Kb (q) = logm MZ ([(I − A)−1 B]T q) and that the dressing factor Z has finite moment
of order q > 1 if and only if q < q ∗ = inf{q ≥
= logm MZ (QT q) (41) 1 : Kb (q) < q − 1}. These results are formally
identical to those for independent cascades. There-
where I is the identity matrix and Q = (I − A)−1 B. fore, the considerations in Sec. 3 on the extremes of
Substitution of MZ in Eq. (39) gives dressed independent cascades apply without modi-
  fication also to the present Markov case.
1 1
Kb (q) = q T Qµ + q T QΣQT q . (42) Miller’s Theorem allows one to extend the pre-
ln(m) 2
vious results to cascade generators Yi given by
For asymptotic conservation of the cascade mean as Yi = ef (Xi ) , where the sequence {Xı } is Markovian
n → ∞, one must have Qµ = − 12 v where v is the as above and f (·) is any given real-valued function.
vector with ith component equal to the ith diagonal Further extension to Yi = ef (Xi+1 , Xi ) is also possi-
element of the matrix QΣQT . Hence, ble. In the latter case, λ(q) is the largest eigenvalue
of the k × k matrix with (i, j)th coefficient given by
 pij eqf (uj , ui ) ; see for example Ref. 17, Chap. 5.
 1

 K (q) = (q T v+qT QΣQT q)
 b 2 ln(m)
   T

 1 1 1 5. CONCLUSIONS

 cb (γ) = γ + v (QΣQT )−1 γ + v .
2 ln(m) 2 2
We have obtained large deviation properties of
(43) multifractal measures generated by multiplicative
cascades. In particular, we have analyzed the be-
havior of P [εn ≥ mnγ ] for n → ∞, where m is
In the scalar case, replacement of (A, B, Σ) with the multiplicity of the cascade, εn is the bare or
σ2 b 2 2
(a, b, σ 2 ) gives Kb (q) = 2 ln(m) ( 1−a ) (q + q). dressed measure density at level n, and γ is a con-
stant. By using large deviation results for sums of
As a final class of multifractal models, we men- iid variables, we have sharpened existing limits for
tion the case of Markov cascades with finite state P [εn ≥ mnγ ]; see Eqs. (14) and (15). We have
space, which have been studied by Waymire and used Eq. (15) to modify the PDMS estimator of the
Williams10 relative to the problems of existence, co-dimension function c(γ) based on exceedance fre-
divergence of the moments, and carrying dimen- quency data; see Eq. (17) and the example in Fig. 1.
sion. Here we look at the problem of extremes. For multi-point extremes, our results [Eqs. (23) and
Specifically, consider a scalar cascade with gener- (24)] correspond to the large-resolution limit of a
ator {Y1 , Y2 , . . .} at a generic point x of the sup- formula proposed by Schertzer and Lovejoy.13 For
port. Suppose that {Xi } = {ln Yi } is an irreducible multivariate extremes, our co-dimension function
Markov chain with finite state space {u1 , . . . , uk } [Eqs. (29) and (30)] differs from previous results.
and transition probabilities pij = P [Xn+1 = Finally, we have used results from large deviation
uj |Xn = ui ] and let Sn = n1 (X1 + · · · + Xn ). Then, theory to find the moment scaling and co-dimension
by Miller’s Theorem (1961),30 Sn obeys the large functions of cascades with dependent generators.
deviation principle with rate function Our focus on the very large deviations P [εn ≥
mnγ ] is due to the fact that traditionally, these
I(γ) = sup(qγ − ln λ(q)} (44) are the extremes considered in the multifractal
q
literature. An example application of the large-n
where λ(q) is the largest eigenvalue of the k × k behavior of P [εn ≥ mnγ ] is the scaling of the so-
matrix with (i, j)th coefficient given by pij equj . called intensity-duration-frequency (IDF) curves in
126 D. Veneziano
hydrology. Let I(D, T ) be the average precipita-
tion intensity in an interval of duration D that is
exceeded with a return period of T years, meaning
that I(D, T ) is exceeded with probability 1/T in
one year. The IDF curves are plots of I versus D
for given T . It has long been noticed that the IDF
curves have a power decay with duration D, and
that the exponent is approximately independent of
T.31 The exponent can be predicted using a multi-
fractal characterization of temporal rainfall and the
scaling properties of P [εn ≥ mnγ ].32 – 34
In Sec. 3, we have obtained the large-n behav-
ior of P [εn, b ≥ mnγ ] from the large-n properties
of P [Sn > γ] where Sn = n1 (X1 + X2 + · · · + Xn )
and the variables Xi are iid. Some of the liter-
ature on large deviations is concerned with less
extreme deviations, of the type P [Sn ≥ n−β γ]
where 0 < β < 0.5.35 For example, when the vari-
ables Xi have√zero mean and unit variance, the dis-
tribution of n · Sn is attracted to the standard
normal CDF, Φ, and interest is in the behavior of
P [Sn ≥n−β γ]
1−Φ(n0.5−β γ)
as n → ∞. To apply these results to
cascades, one may set X = logm Y. If X has finite
mean value µ and finite variance σ 2 , then the bare
density εn, b has the distribution of mn(µ+σSn ) , and
n o
−β+1
P [Sn ≥ n−β γ] = P εn, b ≥ m(µ+σγ)n . ability in Geophysics: Scaling and Fractals, eds. D.
(45)
Hence, results on P [Sn ≥ n−β γ] can be used
to characterize the non-extreme large deviations
of multifractal measures. The case β = 0 was
studied in Sec. 3.
ACKNOWLEDGMENTS
The author is grateful to Daniel Stroock for
useful discussions on the refined limits obtained
in the Appendix. This study was supported by
the Italian National Research Council under a
Cooperative Agreement with MIT for the Study
of Climatic Changes and Hydrogeologic Risks and
by the National Science Foundation under Grant
CMS-9612531.
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21. S. R. S. Varadhan, Large Deviations and
Applications (Society for Industrial and Applied
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Kanellopoulos and J. Megier (Institute for Remote
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23. N. L. Johnson and S. Kotz, Distributions in
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(John Wiley and Sons, 1983).
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Res. D101(26), 26363 (1996).
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Lovejoy, EGS, 24th General Assembly (The Hague,
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Noordhoff, 1971).
APPENDIX: REFINED LIMITS
FOR DRESSED CASCADES
We derive asymptotic expressions for the probabi-
lity P [εn,b · Z ≥ mnγ ] as n → ∞ when the cascade
generator Y is a continuous variable. For the
cascade to be non-degenerate, the function K(q) =
logm E[Y q ] must satisfy K 0 (1) < 1. If in addition
K(q) < q − 1 for all q > 1, then all the positive
moments of Z are finite. Otherwise E[Z q ] diverges
for q ≥ q ∗ , where q ∗ > 1 satisfies K(q ∗ ) = q ∗ − 1.9
In the latter case, the probability density function
∗
of Z behaves like fZ (z) ∼ z −q −1 for large z and the
probability density function of Z 0 = logm Z behaves
0 ∗
like fZ 0 (z 0 ) ∼ m−z q for large z 0 . The slope of K(q)
at q ∗ , γ∗ = K 0 (q ∗ ), plays an important role in the
analysis that follows. We set γ ∗ = ∞ if q ∗ does not
exist.
We start from the relation in Eq. (14) which,
omitting for simplicity the subscript b for bare, we
write as
!−1/2
[c0 (γ)]2
P [εn ≥ m ] ≈ 2π 00
nγ
n ln(m) m−nc(γ) .
c (γ)
(A.1)
Here and in what follows, the symbol ≈ stands for
equality up to a factor that approaches 1 as n → ∞.
We obtain the probability P [εn · Z ≥ mnγ ] by first
conditioning on Z and then taking expectation with
respect to Z. This gives

z0
P [εn · Z ≥ mnγ ] = P [εn ≥ mn(γ− n ) ]
    −1/2
z0 2
Z
∞  γ− c0 
 n  z0
≈ 2π  0  n ln(m) m−nc(γ− n ) fZ 0 (z 0 )dz 0 (A.2)
−∞  00
z 
c γ−
n
where Z 0 = logm Z. To obtain more explicit results, we consider separately the cases γ < γ ∗ , γ = γ ∗ and
γ > γ∗.

(a) γ < γ ∗
In this case, we expect the dressed probability P [εn · Z ≥ mnγ ] to have the same rough exponential limit
as the bare probability P [εn ≥ mnγ ]. Therefore, it makes sense to multiply and divide the right-hand-side
of Eq. (A.2) by P [εn ≥ mnγ ]. Using Eq. (A.1), we obtain
P [εn · Z ≥ mnγ ] ≈ P [εn ≥ mnγ ]
  
z0 1/2
Z c00 γ−
∞ c0 (γ)  n  z0
×    m−n[c(γ− n )−c(γ)] fZ 0 (z 0 )dz 0
−∞ z 
0
c00 (γ) 
c0 γ−
n
Z ∞ z0
≈ P [εn ≥ m ] nγ
m−n[c(γ− n )−c(γ)] fZ 0 (z 0 )dz 0 (A.3)
−∞
128 D. Veneziano
0 0 0
Next, we replace c(γ − zn ) with the Taylor series expansion c(γ) − c0 (γ) zn + R( zn ) where R(x) = 0(x2 ) is a
residual term. This gives
Z ∞ 0 0 0
P [εn · Z ≥ m ] ≈ P [εn ≥ m ] nγ nγ
mc (γ)z −nR(z /n) fZ 0 (z 0 )dz 0 . (A.4)
−∞

As n → ∞, nR(z 0 /n) → 0 for any given z 0 . Moreover, it Rfollows from convexity of c(γ) that c0 (γ) <
0 ∞ 0 0
c0 (γ ∗ ) = q ∗ when γ < γ ∗ . Hence, the moment E[Z c (γ) ] = −∞ mc (γ)z fZ 0 (z 0 )dz 0 is finite and Eq. (A.4)
gives
0
P [εn · Z ≥ mnγ ] ≈ E[Z c (γ) ]P [εmn ≥ mnγ ]
!−1/2
c0 (γ) [c0 (γ)]2
≈ E[Z ] 2π 00 n ln(m) m−nc(γ) . (A.5)
c (γ)

(b) γ = γ ∗
∗
0 ∗ ∗ P [εn ·Z≥mnγ ]
For γ = γ ∗ , the moment E[Z c (γ ) ] = E[Z q ] diverges. Therefore, using Eq. (A.5), P [εn ≥mnγ ∗ ]
→ ∞ as
P [εn ·Z≥m nγ ∗
n → ∞. Next we show that, for any γ < γ ∗ , P [εn ≥mnγ ]
]
→ 0. From this, we conclude that P [εn · Z ≥
∗ ∗
mnγ ] ∼ m−nc(γ ) ,where ∼ denotes asymptotic equality up to a slowly varying function of mn .
∗
Let γ = γ − ∆, where ∆ > 0. Multiplication and division of the right-hand-side of Eq. (A.2) by
∗
P [εn ≥ mn(γ −∆) ] and use of Eq. (A.1) gives
∗ ∗ −∆)
P [εn · Z ≥ mnγ ] ≈ P [εn ≥ mn(γ ]
  
z0 1/2
Z − c00 γ∗
∞ c0 (γ ∗ − ∆)   n 
0
−n[c(γ ∗ − zn )−c(γ ∗ −∆)]
×  0   c00 (γ ∗ − ∆)  m fZ 0 (z 0 )dz 0 . (A.6)
−∞ z
c0 γ ∗ −
n
z0
We expand c(γ ∗ − n) in Taylor series around γ ∗ − ∆. Retaining terms up to the second order,
∗ − z 0 )−c(γ ∗ −∆)] 0 ∗ −∆)(∆− z 0 )+ 1 c00 (γ ∗ −∆)(∆− z 0 )2 +R(∆− z 0 )]
m−n[c(γ n = m−n[c (γ n 2 n n (A.7)

where R(x) = 0(x3 ) is a residual term. Using Eq. (A.7), the integral in Eq. (A.6) becomes
  
z0 1/2
Z ∞ 0 ∗ − c00 γ∗
0 ∗ −∆)∆ c (γ − ∆)  n 
m−nc (γ  



0 ∗ 0
c00 (γ ∗ − ∆)
−∞ c γ − z
n

0 ∗ −∆)z 0 − n c00 (γ ∗ −∆)(∆− z 0 )2 −nR(∆− z 0 )

×mc (γ 2 n n fZ 0 (z 0 )dz 0 (A.8)
0 0
Since c(γ) is convex, the term − n2 c00 (γ ∗ − ∆)(∆ − zn )2 − nR(∆ − zn ) is negative for all z 0 6= n∆. Therefore,
neglecting this term in Eq. (A.8) produces the upper bound
∗ ∗ −∆) 0 ∗ −∆)∆
P [εn · Z ≥ mnγ ] < P [εn ≥ mn(γ ]mc (γ
   1/2
z0
Z − c00 γ∗
∞ c0 (γ ∗ − ∆)   n 
 0 ∗ −∆)z 0
×  0   00 ∗  mc (γ fZ 0 (z 0 )dz 0 . (A.9)
−∞ z c (γ − ∆)
c0 γ ∗ −
n
 Large Deviations of Multifractal Measures 129
0 ∗
Using again convexity of c(.), it is c0 (γ ∗ − ∆) < q ∗ and since fZ 0 (z 0 ) ∼ m−z q for large z 0 , the inte-
P [εn ·Z≥m ] nγ ∗
gral in Eq. (A.9) is finite. Hence, limn→∞ ∗
P [εn ≥mn(γ −∆) ]
< ∞ for any given ∆ > 0. This relation and
∗
P [εn ·Z≥mnγ ] ∗ ∗
∗
P [εn ≥mnγ ]
→ ∞ imply the rough exponential limit P [εn · Z ≥ mnγ ] ∼ m−nc(γ ) .

(c) γ > γ ∗
Let ∆ = γ ∗ − γ > 0. We proceed as for γ < γ ∗ , but since in this case we expect the rough asymptotics of
∗
P [εn · Z ≥ mnγ ] to be those of P [εn ≥ mnγ ], we multiply and divide the right-hand-side of Eq. (A.2) by
∗
P [εn ≥ mnγ ]. Using Eq. (A.1), we obtain
∗ +∆) ∗
P [εn · Z ≥ mn(γ ] ≈ P [εn ≥ mnγ ]
  
00 ∗ z0 1/2

c γ + ∆ −
Z ∞ c0 (γ ∗ ) n  ∗ +∆− z 0 )−c(γ ∗ )]
×    m−n[c(γ fZ 0 (z 0 )dz 0
z0  
n
−∞ c00 (γ ∗ )
c0 γ ∗ + ∆ −
n
(A.10)
z0
We now take the Taylor series expansion of c(γ ∗ + ∆ − n) around γ ∗ . Using q ∗ = c0 (γ ∗ ), this gives
     2  
z0 z0 1 z0 z0
c γ∗ + ∆ − − c(γ ∗ ) = q ∗ ∆ − + c00 (γ ∗ ) ∆ − +R ∆− (A.11)
n n 2 n n
∗ z0
where R(x) = 0(x3 ). Also let fZ 0 (z 0 ) = h(z 0 )m−q where h(z 0 ) is slowly varying at infinity. Then,
Eq. (A.10) becomes
∗ +∆) ∗ ∗
P [εn · Z ≥ mn(γ ] ≈ P [εn ≥ mnγ ] · m−n∆q
  
z0 1/2
Z c00 γ∗ +∆−
∞ c0 (γ ∗ ) 
 n 
×    
−∞ z0 00 ∗
c (γ )
c0 γ ∗ + ∆ −
n
0 0
−n c00 (γ ∗ )(∆− zn )2 −nR(∆− zn )
×m 2 h(z 0 )dz 0 . (A.12)

For large n, the integral in Eq. (A.12) is contributed mainly by values of z 0 /n close to ∆. Then, using the
fact that h is slowly varying, that integral may be written as
Z s
∞ 0 n
−n c00 (γ ∗ )(∆− zn )2 0 n∆q ∗
h(n∆) m 2 dz = m fZ 0 (n∆) 2π . (A.13)
−∞ c00 (γ ∗ )

From Eqs. (A.1), (A.12) and (A.13) and the relation c0 (γ ∗ ) = q ∗ , we obtain
s
n(γ ∗ +∆) nγ ∗ −nq ∗ ∆ n
P [εn · Z ≥ m ] ≈ P [εn ≥ m ]·m · h(n∆) 2π
c00 (γ ∗ )

fZ 0 (n∆) −n[c(γ ∗ )+q∗ ∆]

≈ m . (A.14)
q∗