Osaka Journal of Mathematics

On a localization property of wavelet coefficients for processes with stationary increments, and applications. II. Localization with respect to scale

Sergio Albeverio and Shuji Kawasaki

Full-text: Open access

Abstract

Wavelet coefficients of a process have arguments shift and scale. It can thus be viewed as a time series along shift for each scale. We have considered in the previous study general wavelet coefficient domain estimators and revealed a localization property with respect to shift. In this paper, we formulate the localization property with respect to scale, which is more difficult than that of shift. Two factors that govern the decay rate of cross-scale covariance are indicated. The factors are both functions of vanishing moments and scale-lags. The localization property is then successfully applied to formulate limiting variance in the central limit theorem associated with Hurst index estimation problem of fractional Brownian motion. Especially, we can find the optimal upper bound $J$ of scales $1, \ldots, J$ used in the estimation to be $J = 5$ by an evaluation of the diagonal component of the limiting variance, in virtue of the scale localization property.

Article information

Source
Osaka J. Math., Volume 51, Number 1 (2014), 1-39.

Dates
First available in Project Euclid: 8 April 2014

Permanent link to this document
https://projecteuclid.org/euclid.ojm/1396966222

Mathematical Reviews number (MathSciNet)
MR3192529

Zentralblatt MATH identifier
1302.60067

Subjects
Primary: 60G22: Fractional processes, including fractional Brownian motion 65T60: Wavelets 60F05: Central limit and other weak theorems
Secondary: 60G18: Self-similar processes 60G15: Gaussian processes 62F03: Hypothesis testing 62J10: Analysis of variance and covariance

Citation

Albeverio, Sergio; Kawasaki, Shuji. On a localization property of wavelet coefficients for processes with stationary increments, and applications. II. Localization with respect to scale. Osaka J. Math. 51 (2014), no. 1, 1--39. https://projecteuclid.org/euclid.ojm/1396966222


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