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Wavelet domain bootstrap for testing the equality of bivariate self-similarity exponents

Wendt, Herwig and Abry, Patrice and Didier, Gustavo Wavelet domain bootstrap for testing the equality of bivariate self-similarity exponents. (2018) In: IEEE Workshop on statistical signal processing (SSP 2018), 10 June 2018 - 13 June 2018 (Freiburg, Germany).

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Official URL: https://doi.org/10.1109/SSP.2018.8450710

Abstract

Self-similarity has been widely used to model scale-free dynamics, with significant successes in numerous applications that are very different in nature. However, such successes have mostly remained confined to univariate data analysis while many applications in the modern “data deluge” era involve multivariate and dependent data. Operator fractional Brownian motion is a multivariate self-similar model that accounts for multivariate scale-free dynamics and characterizes data by means of a vector of self-similarity exponents (eigenvalues). This naturally raises the challenging question of testing the equality of exponents. Expanding on the recently proposed wavelet eigenvalue regression estimator of the vector of self-similarity exponents, in the present work we construct and study a wavelet domain bootstrap test for the equality of self-similarity exponents from one single observation (time series) of multivariate data. Its performance is assessed in a bivariate setting for various choices of sample size and model parameters, and it is shown to be satisfactory for use on real world data. Practical routines implementing estimation and testing are available upon request.

Item Type:Conference or Workshop Item (Paper)
Additional Information:Thanks to IEEE editor. The definitive version is available at http://ieeexplore.ieee.org This papers appears in Proceedings of SSP 2018. Electronic ISBN: 978-1-5386-1571-3 The original PDF of the article can be found at: https://ieeexplore.ieee.org/document/8450710 Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works.
HAL Id:hal-02279426
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 > Université Claude Bernard-Lyon I - UCBL (FRANCE)
Other partners > Tulane University (USA)
Other partners > Université de Lyon - UDL (FRANCE)
Laboratory name:
Funders:
ANR : Agence nationale de la recherche (France) - ARO : Army Research Office (US)
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Deposited By: IRIT IRIT
Deposited On:23 Jul 2019 07:43

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