International audienceIn the modern world of "Big Data," dynamic signals are often multivariate and characterized by joint scale-free dynamics (self-similarity) and non-Gaussianity. In this paper, we examine the performance of joint wavelet eigenanalysis estimation for the Hurst parameters (scaling exponents) of non-Gaussian multivariate processes. We propose a new process called operator fractional Lévy motion (ofLm) as a Lévy-type model for non-Gaussian multivariate self-similarity. Based on large size Monte Carlo simulations of bivariate ofLm with a combination of Gaussian and non-Gaussian marginals, the estimation performance for Hurst parameters is shown to be satisfactory over finite samples
International audienceScale-free dynamics commonly appear in individual components of multivariate d...
In this paper, we build an estimator of the Hurst exponent of a fractional Lévy motion based on its ...
In this paper we analyze a wavelet based method for the estimation of the Hurst parameter of synthet...
International audienceIn the modern world of "Big Data," dynamic signals are often multivariate and ...
International audienceIn the modern world, systems are routinely monitored by multiple sensors, gene...
International audienceThis paper deals with the identification of the multivariate fractional Browni...
In this paper, we propose a method using continuous wavelets to study the multivariate fractio...
We introduce a scattering covariance matrix which provides non-Gaussian models of time-series having...
International audienceIn this paper, we construct the wavelet eigenvalue regression methodology (Abr...
International audienceSelf-similarity has been widely used to model scale-free dynamics, with signif...
International audienceWhile scale invariance is commonly observed in each component of real world mu...
International audienceFollowing recent works from Lavancier et. al., we study the covariance structu...
In this contribution, we study the notion of affine invariance (specifically, invariance to the shif...
By using chaos expansion into multiple stochastic integrals, we make a wavelet analysis of two self-...
Various wavelet-based estimators of self-similarity or long-range dependence scaling exponent are st...
International audienceScale-free dynamics commonly appear in individual components of multivariate d...
In this paper, we build an estimator of the Hurst exponent of a fractional Lévy motion based on its ...
In this paper we analyze a wavelet based method for the estimation of the Hurst parameter of synthet...
International audienceIn the modern world of "Big Data," dynamic signals are often multivariate and ...
International audienceIn the modern world, systems are routinely monitored by multiple sensors, gene...
International audienceThis paper deals with the identification of the multivariate fractional Browni...
In this paper, we propose a method using continuous wavelets to study the multivariate fractio...
We introduce a scattering covariance matrix which provides non-Gaussian models of time-series having...
International audienceIn this paper, we construct the wavelet eigenvalue regression methodology (Abr...
International audienceSelf-similarity has been widely used to model scale-free dynamics, with signif...
International audienceWhile scale invariance is commonly observed in each component of real world mu...
International audienceFollowing recent works from Lavancier et. al., we study the covariance structu...
In this contribution, we study the notion of affine invariance (specifically, invariance to the shif...
By using chaos expansion into multiple stochastic integrals, we make a wavelet analysis of two self-...
Various wavelet-based estimators of self-similarity or long-range dependence scaling exponent are st...
International audienceScale-free dynamics commonly appear in individual components of multivariate d...
In this paper, we build an estimator of the Hurst exponent of a fractional Lévy motion based on its ...
In this paper we analyze a wavelet based method for the estimation of the Hurst parameter of synthet...
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