  We present an approximated maximum likelihood method for the multifractal
random walk processes of [E. Bacry et al., Phys. Rev. E 64, 026103 (2001)]. The
likelihood is computed using a Laplace approximation and a truncation in the
dependency structure for the latent volatility. The procedure is implemented as
a package in the R computer language. Its performance is tested on synthetic
data and compared to an inference approach based on the generalized method of
moments. The method is applied to estimate parameters for various financial
stock indices.
