Add to ORKGInternational 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
Nowadays, because of the massive and systematic deployment of sensors, systems are routinely monitor...
Various wavelet-based estimators of self-similarity or long-range dependence scaling exponent are st...
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 audienceSelf-similarity has become a well-established modeling framework in several fi...
In this paper, we build an estimator of the Hurst exponent of a fractional Lévy motion based on its ...
While scale invariance is commonly observed in each component of real world multivariate signals, it...
Scale-free dynamics commonly appear in individual components of multivariate data. Yet, while the be...
International audienceThis paper deals with the identification of the multivariate fractional Browni...
Self-similarity has been widely used to model scale-free dynamics, with significant successes in num...
International audienceBy using chaos expansion into multiple stochastic integrals, we make a wavelet...
International audienceIn certain applications, for instance biomechanics, turbulence, finance, or In...
We introduce a scattering covariance matrix which provides non-Gaussian models of time-series having...
International audienceFollowing recent works from Lavancier et. al., we study the covariance structu...
Nowadays, because of the massive and systematic deployment of sensors, systems are routinely monitor...
Various wavelet-based estimators of self-similarity or long-range dependence scaling exponent are st...
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 audienceSelf-similarity has become a well-established modeling framework in several fi...
In this paper, we build an estimator of the Hurst exponent of a fractional Lévy motion based on its ...
While scale invariance is commonly observed in each component of real world multivariate signals, it...
Scale-free dynamics commonly appear in individual components of multivariate data. Yet, while the be...
International audienceThis paper deals with the identification of the multivariate fractional Browni...
Self-similarity has been widely used to model scale-free dynamics, with significant successes in num...
International audienceBy using chaos expansion into multiple stochastic integrals, we make a wavelet...
International audienceIn certain applications, for instance biomechanics, turbulence, finance, or In...
We introduce a scattering covariance matrix which provides non-Gaussian models of time-series having...
International audienceFollowing recent works from Lavancier et. al., we study the covariance structu...
Nowadays, because of the massive and systematic deployment of sensors, systems are routinely monitor...
Various wavelet-based estimators of self-similarity or long-range dependence scaling exponent are st...
In this paper we analyze a wavelet based method for the estimation of the Hurst parameter of synthet...