Self-similar continuous cascades supported by random Cantor sets. Application to rainfall data

Abstract: We introduce a variant of continuous random cascade models that extends former constructions introduced by Barral-Mandelbrot and Bacry-Muzy in the sense that they can be supported by sets of arbitrary fractal dimension. The so introduced sets are exactly self-similar stationary versions of random Cantor sets formerly introduced by Mandelbrot as "random cutouts". We discuss the main mathematical properties of our construction and compute its scaling properties. We then illustrate our purpose on several numerical examples and we consider a possible application to rainfall data. We notably show that our model allows us to reproduce remarkably the distribution of dry period durations.