On a localization property of wavelet coefficients for processes with stationary increments, and applications. II: Localization with respect to scale (Q2446405)

The paper is the second part of the study begun by the authors in [Adv. Appl. Probab. 37, No. 4, 938--962 (2005; Zbl 1119.62080)], where general wavelet coefficients domain estimators were considered and a localization property with respect to shift was revealed. In this paper, the localization property of wavelet coefficients for processes with stationary increments with respect to scale is formulated. After an introduction into the topic and a presentation of the basic notions in the first two sections of the paper, the main results are presented in the third section (Theorem 2 and 3) and discussed in the fourth one. The functions of vanishing moment and scale-lags appearing in the basic localization are evaluated in the fifth section. In the sixth section, the localization property is applied to the problem of the wavelet-based Hurst index estimation for fractional Brownian motion. By virtue of the scale localization property the evaluation works effectively in determining the scale upper bound that achieves the minimum variance of the estimator. The following sections of the paper are devoted to detailed proofs of the main theorems and for the auxiliary results used for this purpose.