High order chaotic limits of wavelet scalograms under long-range dependence

MaRDI QIDQ2871436zbMATH OpenFDO

Authors Marianne Clausel, Murad S. Taqqu, Ciprian A. Tudor, François Roueff

Publication date 23 January 2014

Published in ALEA. Latin American Journal of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1201.4831

zbMATH Keywords

Hermite processeslong-range dependenceself-similar processeswavelet coefficientsWiener chaos

Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Self-similar stochastic processes (60G18) Generalized stochastic processes (60G20) Fractional processes, including fractional Brownian motion (60G22) Inference from stochastic processes and spectral analysis (62M15)

Abstract: Let $G$ be a non--linear function of a Gaussian process ${X_t}_{tinmathbbZ}$ with long--range dependence. The resulting process ${G(X_t)}_{tinmathbbZ}$ is not Gaussian when $G$ is not linear. We consider random wavelet coefficients associated with ${G(X_t)}_{tinmathbbZ}$ and the corresponding wavelet scalogram which is the average of squares of wavelet coefficients over locations. We obtain the asymptotic behavior of the scalogram as the number of observations and scales tend to infinity. It is known that when $G$ is a Hermite polynomial of any order, then the limit is either the Gaussian or the Rosenblatt distribution, that is, the limit can be represented by a multiple Wiener-It^o integral of order one or two. We show, however, that there are large classes of functions $G$ which yield a higher order Hermite distribution, that is, the limit can be represented by a a multiple Wiener-It^o integral of order greater than two.

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