Combrexelle, Sébastien and Wendt, Herwig
and Didier, Gustavo and Abry, Patrice
Multivariate Scale-free dynamics: Testing Fractal Connectivity.
(2017)
In: 42nd IEEE International Conference on Acoustics, Speech, and Signal Processing (ICASSP 2017), 5 March 2017 - 9 March 2017 (New Orleans, United States).
|
(Document in English)
PDF (Author's version) - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader 483kB |
Official URL: http://doi.org/10.1109/ICASSP.2017.7952904
Abstract
Scale-free dynamics commonly appear in individual components of multivariate data. Yet, while the behavior of cross-components is crucial in modeling real-world multivariate data, their examination often suggests departures from exact multivariate self-similarity (also termed fractal connectivity). The present paper introduces a multivariate Gaussian stochastic process with Hadamard (i.e., entry-wise) self-similar scale-free dynamics, controlled by a matrix Hurst parameter H, that allows departures from fractal connectivity. The properties of its wavelet coefficients and wavelet spectrum are studied, enabling the estimation of H and of the fractal connectivity parameter. Furthermore, it permits the computation of closed-form confidence intervals for the estimates based on approximate (wavelet) covariances. Finally, these developments enable us to devise a test for fractal connectivity. Monte Carlo simulations are used to assess the accuracy of the proposed approximate confidence intervals and the performance of the fractal connectivity test.
Item Type: | Conference or Workshop Item (Paper) |
---|---|
Additional Information: | https://ieeexplore.ieee.org/document/7952904 |
HAL Id: | hal-01912795 |
Audience (conference): | International conference proceedings |
Uncontrolled Keywords: | |
Institution: | French research institutions > Centre National de la Recherche Scientifique - CNRS (FRANCE) Other partners > Ecole Normale Supérieure de Lyon - ENS de Lyon (FRANCE) Université de Toulouse > Institut National Polytechnique de Toulouse - INPT (FRANCE) Université de Toulouse > Université Toulouse III - Paul Sabatier - UPS (FRANCE) Université de Toulouse > Université Toulouse - Jean Jaurès - UT2J (FRANCE) Université de Toulouse > Université Toulouse 1 Capitole - UT1 (FRANCE) Other partners > Tulane University (USA) Other partners > Université de Lyon - UDL (FRANCE) |
Laboratory name: | |
Statistics: | download |
Deposited By: | IRIT IRIT |
Deposited On: | 09 Oct 2018 09:48 |
Repository Staff Only: item control page