On high-dimensional wavelet eigenanalysis

arXiv2102.05761MaRDI QIDQ6360348FDOQ6360348

Authors: Patrice Abry, B. Cooper Boniece, Gustavo Didier, Herwig Wendt 

Publication date: 10 February 2021

Abstract: In this paper, we characterize the asymptotic and large scale behavior of the eigenvalues of wavelet random matrices in high dimensions. We assume that possibly non-Gaussian, finite-variance $p$-variate measurements are made of a low-dimensional $r$-variate ($rllp$) fractional stochastic process with non-canonical scaling coordinates and in the presence of additive high-dimensional noise. The measurements are correlated both time-wise and between rows. We show that the $r$ largest eigenvalues of the wavelet random matrices, when appropriately rescaled, converge to scale invariant functions in the high-dimensional limit. By contrast, the remaining $p-r$ eigenvalues remain bounded. Under additional assumptions, we show that, up to a log transformation, the $r$ largest eigenvalues of wavelet random matrices exhibit asymptotically Gaussian distributions. The results have direct consequences for statistical inference.

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Fractional processes, including fractional Brownian motion (60G22)

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