Large scale behavior of wavelet coefficients of non-linear subordinated processes with long memory

DOI10.1016/J.ACHA.2011.04.003zbMATH Open1244.60044arXiv1006.2282OpenAlexW2163134608MaRDI QIDQ412400FDOQ412400

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

Publication date: 4 May 2012

Published in: Applied and Computational Harmonic Analysis (Search for Journal in Brave)

Abstract: We study the asymptotic behavior of wavelet coefficients of random processes with long memory. These processes may be stationary or not and are obtained as the output of non--linear filter with Gaussian input. The wavelet coefficients that appear in the limit are random, typically non--Gaussian and belong to a Wiener chaos. They can be interpreted as wavelet coefficients of a generalized self-similar process.

Full work available at URL: https://arxiv.org/abs/1006.2282

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zbMATH Keywords

long-range dependenceWiener chaosself-similar processeswavelet coefficientsHermite processes

Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Gaussian processes (60G15) Signal detection and filtering (aspects of stochastic processes) (60G35) Numerical methods for wavelets (65T60)

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Cited In (6)

• Convergence in \(L_{p}([0, T])\) of wavelet expansions of \(\varphi\)-sub-Gaussian random processes
• Large scale reduction principle and application to hypothesis testing
• Convergence rate analysis in limit theorems for nonlinear functionals of the second Wiener chaos
• Gaussian approximation for the moving averaged modulus wavelet transform and its variants
• Central and Noncentral Limit Theorems Arising from the Scattering Transform and Its Neural Activation Generalization
• How the instability of ranks under long memory affects large-sample inference

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