Large scale reduction principle and application to hypothesis testing

DOI10.1214/15-EJS987MaRDI QIDQ2259532zbMATH OpenOpenAlexFDO

Authors Marianne Clausel, François Roueff, Murad S. Taqqu

Publication date 4 March 2015

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1407.5871, https://projecteuclid.org/euclid.ejs/1423229754

zbMATH Keywords

estimationhypothesis testinglong memorylong-range dependenceself-similaritystationary Gaussian sequencewavelet transform

Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Stationary stochastic processes (60G10) Gaussian processes (60G15) Self-similar stochastic processes (60G18) Generalized stochastic processes (60G20) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: hypothesis testing (62M07) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15)

Abstract: Consider a non--linear function $G(X_t)$ where $X_t$ is a stationary Gaussian sequence with long--range dependence. The usual reduction principle states that the partial sums of $G(X_t)$ behave asymptotically like the partial sums of the first term in the expansion of $G$ in Hermite polynomials. In the context of the wavelet estimation of the long--range dependence parameter, one replaces the partial sums of $G(X_t)$ by the wavelet scalogram, namely the partial sum of squares of the wavelet coefficients. Is there a reduction principle in the wavelet setting, namely is the asymptotic behavior of the scalogram for $G(X_t)$ the same as that for the first term in the expansion of $G$ in Hermite polynomial? The answer is negative in general. This paper provides a minimal growth condition on the scales of the wavelet coefficients which ensures that the reduction principle also holds for the scalogram. The results are applied to testing the hypothesis that the long-range dependence parameter takes a specific value.

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Cited in

(1)

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