Two-step wavelet-based estimation for Gaussian mixed fractional processes

DOI10.1007/S11203-018-9190-ZMaRDI QIDQ2316337zbMATH OpenOpenAlexWikidataFDO

Authors Patrice Abry, Gustavo Didier, Hui Li

Publication date 26 July 2019

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1607.05167

zbMATH Keywords

waveletsdemixingoperator self-similarityfractional stochastic processmultivariate stochastic process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Estimation in multivariate analysis (62H12) Fractional processes, including fractional Brownian motion (60G22) Self-similar stochastic processes (60G18)

Abstract: A mixed Gaussian fractional process ${Y(t)}_{tinBbbR}={PX(t)}_{tinBbbR}$ is a multivariate stochastic process obtained by pre-multiplying a vector of independent, Gaussian fractional process entries $X$ by a nonsingular matrix $P$. It is interpreted that $Y$ is observable, while $X$ is a hidden process occurring in an (unknown) system of coordinates $P$. Mixed processes naturally arise as approximations to solutions of physically relevant classes of multivariate fractional SDEs under aggregation. We propose a semiparametric two-step wavelet-based method for estimating both the demixing matrix $P^{-1}$ and the memory parameters of $X$. The asymptotic normality of the estimators is established both in continuous and discrete time. Monte Carlo experiments show that the finite sample estimation performance is comparable to that of parametric methods, while being very computationally efficient. As applications, we model a bivariate time series of annual tree ring width measurements, and establish the asymptotic normality of the eigenstructure of sample wavelet matrices.

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Cited in

(3)

• Complex-order scale-invariant operators and self-similar processes
• Tempered fractional Brownian motion: wavelet estimation, modeling and testing
• Wavelet eigenvalue regression in high dimensions

Describes a project that uses

Uses Software

• TSA
• longmemo

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