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Article Dans Une Revue ALEA : Latin American Journal of Probability and Mathematical Statistics Année : 2013

High order chaotic limits of wavelet scalograms under long--range dependence

Résumé

Let $G$ be a non--linear function of a Gaussian process $\{X_t\}_{t\in\mathbb{Z}}$ with long--range dependence. The resulting process $\{G(X_t)\}_{t\in\mathbb{Z}}$ is not Gaussian when $G$ is not linear. We consider random wavelet coefficients associated with $\{G(X_t)\}_{t\in\mathbb{Z}}$ and the corresponding wavelet scalogram which is the average of squares of wavelet coefficients over locations. We obtain the asymptotic behavior of the scalogram as the number of observations and scales tend to infinity. It is known that when $G$ is a Hermite polynomial of any order, then the limit is either the Gaussian or the Rosenblatt distribution, that is, the limit can be represented by a multiple Wiener-Itô integral of order one or two. We show, however, that there are large classes of functions $G$ which yield a higher order Hermite distribution, that is, the limit can be represented by a a multiple Wiener-Itô integral of order greater than two.
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Dates et versions

hal-00662317 , version 1 (23-01-2012)
hal-00662317 , version 2 (27-11-2013)

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Marianne Clausel, François Roueff, Murad S. Taqqu, Ciprian A. Tudor. High order chaotic limits of wavelet scalograms under long--range dependence. ALEA : Latin American Journal of Probability and Mathematical Statistics, 2013, 10 (2), pp.979­-1011. ⟨hal-00662317v2⟩
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