Wavelet analysis of the multivariate fractional Brownian motion

DOI10.1051/PS/2012011zbMATH Open1293.42038arXiv1007.2109OpenAlexW3100678894MaRDI QIDQ5408486FDOQ5408486

Authors: Jean-François Coeurjolly, Sophie Achard, Pierre-Olivier Amblard 

Publication date: 10 April 2014

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Abstract: The work developed in the paper concerns the multivariate fractional Brownian motion (mfBm) viewed through the lens of the wavelet transform. After recalling some basic properties on the mfBm, we calculate the correlation structure of its wavelet transform. We particularly study the asymptotic behavior of the correlation, showing that if the analyzing wavelet has a sufficient number of null first order moments, the decomposition eliminates any possible long-range (inter)dependence. The cross-spectral density is also considered in a second part. Its existence is proved and its evaluation is performed using a von Bahr-Essen like representation of the function $sign(t)|t{|}^{a}lpha$. The behavior of the cross-spectral density of the wavelet field at the zero frequency is also developed and confirms the results provided by the asymptotic analysis of the correlation.

Full work available at URL: https://arxiv.org/abs/1007.2109

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zbMATH Keywords

cross-correlationwavelet analysiscross-spectrummultivariate fractional Brownian motion

Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Fractional processes, including fractional Brownian motion (60G22) Lipschitz (Hölder) classes (26A16) Fractals (28A80)

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