Large scale behavior of wavelet coefficients of non-linear subordinated processes with long memory
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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.
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- How the instability of ranks under long memory affects large-sample inference
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- Convergence rate analysis in limit theorems for nonlinear functionals of the second Wiener chaos
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