Bayesian estimation of the parameters of the joint multifractal spectrum of signals and images

Multifractal analysis has become a reference tool for signal and image processing. Grounded in the quantification of local regularity fluctuations, it has proven useful in an increasing range of applications, yet so far involving only univariate data (scalar-valued time series or single channel images). Recently the theoretical ground for multivariate multifractal analysis has been devised, showing potential for quantifying transient higher-order dependence beyond linear correlation among collections of data. However, the accurate estimation of the parameters associated with a multivariate multifractal model remains challenging, severely limiting their actual use in applications. The main goal of this thesis is to propose and study practical contributions on multivariate multifractal analysis of signals and images. Specifically, the proposed approach relies on a novel and original joint Gaussian model for the logarithm of wavelet leaders and leverages on a Whittle-based likelihood approximation and data augmentation for the matrix-valued parameters of interest. This careful design enables efficient estimation procedures to be constructed for two relevant choices of priors using Bayesian inference. Algorithms based on Monte Carlo Markov Chain and Expectation Maximization strategies are designed and used to approximate the Bayesian estimators. Monte Carlo simulations, conducted on synthetic multivariate signals and images with various sample sizes, numbers of components and multifractal parameter settings, demonstrate significant performance improvements over the state of the art. In addition, theoretical lower bounds on the variance of the estimators are designed to study their asymptotic behavior. Finally, the relevance of the proposed multivariate multifractal estimation framework is shown for two real-world data examples: drowsiness detection from multichannel physiological signals and potential remote sensing applications in multispectral satellite imagery

ASSESSING CROSS-DEPENDENCIES USING BIVARIATE MULTIFRACTAL ANALYSIS

International audienceMultifractal analysis, notably with its recent wavelet-leader based formulation, has nowadays become a reference tool to characterize scale-free temporal dynamics in time series. It proved successful in numerous applications very diverse in nature. However, such successes remained restricted to univariate analysis while many recent applications call for the joint analysis of several components. Surprisingly , multivariate multifractal analysis remained mostly overlooked. The present contribution aims at defining a wavelet-leader based framework for multivariate multifractal analysis and at studying its properties and estimation performance. To better understand what properties of multivariate data are actually captured in mul-tivariate multifractal analysis, a multivariate multifractal model is used as representative paradigm and permits to show that multivari-ate multifractal analysis puts in evidence transient and local dependencies that are not well quantified or even evidenced by the classical Pearson correlation coefficient. Index Terms-multivariate multifractal analysis, wavelet leaders , transient higher order dependencie