On convergence of general wavelet decompositions of nonstationary stochastic processes

DOI10.1214/EJP.V18-2234zbMATH Open1291.60073arXiv1307.6917MaRDI QIDQ388952FDOQ388952

Authors: Olga Polosmak, Yu. V. Kozachenko, Andriy Olenko 

Publication date: 17 January 2014

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: The paper investigates uniform convergence of wavelet expansions of Gaussian random processes. The convergence is obtained under simple general conditions on processes and wavelets which can be easily verified. Applications of the developed technique are shown for several classes of stochastic processes. In particular, the main theorem is adjusted to the fractional Brownian motion case. New results on the rate of convergence of the wavelet expansions in the space $C([0,T])$ are also presented.

Full work available at URL: https://arxiv.org/abs/1307.6917

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zbMATH Keywords

waveletsGaussian processuniform convergencefractional Brownian motionconvergence rateconvergence in probability

Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22)

Cited In (15)

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• Convergence in \(L_{p}([0, T])\) of wavelet expansions of \(\varphi\)-sub-Gaussian random processes
• Statistical properties of the wavelet decomposition of certain non-Gaussian self-similar processes
• Harmonic analysis meets stationarity: a general framework for series expansions of special Gaussian processes
• Haar-based multiresolution stochastic processes
• On the construction of stochastic fields with prescribed regularity by wavelet expansions
• Whittaker-Kotel'nikov-Shannon approximation of \(\phi\)-sub-Gaussian random processes
• Gaussian stationary processes: Adaptive wavelet decompositions, discrete approximations, and their convergence
• Compensating operator and weak convergence of semi-Markov process to the diffusion process without balance condition
• Title not available (Why is that?)
• Uniform convergence of compactly supported wavelet expansions of Gaussian random processes
• Convergence of Fourier-Wavelet Models for Gaussian Random Processes
• Gaussian approximation for the moving averaged modulus wavelet transform and its variants
• Modeling of a smoothed Brownian bridge from Orlicz spaces via wavelet expansions
• Convergence rate for wavelet expansions of generalized accumulated Ornstein-Uhlenbeck processes

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