655 research outputs found
Intermittent process analysis with scattering moments
Scattering moments provide nonparametric models of random processes with
stationary increments. They are expected values of random variables computed
with a nonexpansive operator, obtained by iteratively applying wavelet
transforms and modulus nonlinearities, which preserves the variance. First- and
second-order scattering moments are shown to characterize intermittency and
self-similarity properties of multiscale processes. Scattering moments of
Poisson processes, fractional Brownian motions, L\'{e}vy processes and
multifractal random walks are shown to have characteristic decay. The
Generalized Method of Simulated Moments is applied to scattering moments to
estimate data generating models. Numerical applications are shown on financial
time-series and on energy dissipation of turbulent flows.Comment: Published in at http://dx.doi.org/10.1214/14-AOS1276 the Annals of
Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical
Statistics (http://www.imstat.org
Fractional Brownian fields, duality, and martingales
In this paper the whole family of fractional Brownian motions is constructed
as a single Gaussian field indexed by time and the Hurst index simultaneously.
The field has a simple covariance structure and it is related to two
generalizations of fractional Brownian motion known as multifractional Brownian
motions. A mistake common to the existing literature regarding multifractional
Brownian motions is pointed out and corrected. The Gaussian field, due to
inherited ``duality'', reveals a new way of constructing martingales associated
with the odd and even part of a fractional Brownian motion and therefore of the
fractional Brownian motion. The existence of those martingales and their
stochastic representations is the first step to the study of natural wavelet
expansions associated to those processes in the spirit of our earlier work on a
construction of natural wavelets associated to Gaussian-Markov processes.Comment: Published at http://dx.doi.org/10.1214/074921706000000770 in the IMS
Lecture Notes Monograph Series
(http://www.imstat.org/publications/lecnotes.htm) by the Institute of
Mathematical Statistics (http://www.imstat.org
Wavelet-Based Entropy Measures to Characterize Two-Dimensional Fractional Brownian Fields
The aim of this work was to extend the results of Perez et al. (Physica A (2006), 365 (2), 282–288) to the two-dimensional (2D) fractional Brownian field. In particular, we defined Shannon entropy using the wavelet spectrum from which the Hurst exponent is estimated by the regression of the logarithm of the square coefficients over the levels of resolutions. Using the same methodology. we also defined two other entropies in 2D: Tsallis and the Rényi entropies. A simulation study was performed for showing the ability of the method to characterize 2D (in this case, α = 2) self-similar processes
Modeling electricity spot prices using mean-reverting multifractal processes
We discuss stochastic modeling of volatility persistence and
anti-correlations in electricity spot prices, and for this purpose we present
two mean-reverting versions of the multifractal random walk (MRW). In the first
model the anti-correlations are modeled in the same way as in an
Ornstein-Uhlenbeck process, i.e. via a drift (damping) term, and in the second
model the anti-correlations are included by letting the innovations in the MRW
model be fractional Gaussian noise with H < 1/2. For both models we present
approximate maximum likelihood methods, and we apply these methods to estimate
the parameters for the spot prices in the Nordic electricity market. The
maximum likelihood estimates show that electricity spot prices are
characterized by scaling exponents that are significantly different from the
corresponding exponents in stock markets, confirming the exceptional nature of
the electricity market. In order to compare the damped MRW model with the
fractional MRW model we use ensemble simulations and wavelet-based variograms,
and we observe that certain features of the spot prices are better described by
the damped MRW model. The characteristic correlation time is estimated to
approximately half a year.Comment: 13 pages, 4 figures, 2 table
A wavelet analysis of the Rosenblatt process: chaos expansion and estimation of the self-similarity parameter
By using chaos expansion into multiple stochastic integrals, we make a
wavelet analysis of two self-similar stochastic processes: the fractional
Brownian motion and the Rosenblatt process. We study the asymptotic behavior of
the statistic based on the wavelet coefficients of these processes. Basically,
when applied to a non-Gaussian process (such as the Rosenblatt process) this
statistic satisfies a non-central limit theorem even when we increase the
number of vanishing moments of the wavelet function. We apply our limit
theorems to construct estimators for the self-similarity index and we
illustrate our results by simulations
Expectiles for subordinated Gaussian processes with applications
In this paper, we introduce a new class of estimators of the Hurst exponent
of the fractional Brownian motion (fBm) process. These estimators are based on
sample expectiles of discrete variations of a sample path of the fBm process.
In order to derive the statistical properties of the proposed estimators, we
establish asymptotic results for sample expectiles of subordinated stationary
Gaussian processes with unit variance and correlation function satisfying
(\kappa\in \RR) with . Via a
simulation study, we demonstrate the relevance of the expectile-based
estimation method and show that the suggested estimators are more robust to
data rounding than their sample quantile-based counterparts
Type I and Type II Fractional Brownian Motions: a Reconsideration
The so-called type I and type II fractional Brownian motions are limit distributions associated with the fractional integration model in which pre-sample shocks are either included in the lag structure, or suppressed. There can be substantial differences between the distributions of these two processes and of functionals derived from them, so that it becomes an important issue to decide which model to use as a basis for inference. Alternative methods for simulating the type I case are contrasted, and for models close to the nonstationarity boundary, truncating infinite sums is shown to result in a significant distortion of the distribution. A simple simulation method that overcomes this problem is described and implemented. The approach also has implications for the estimation of type I ARFIMA models, and a new conditional ML estimator is proposed, using the annual Nile minima series for illustration.Fractional Brownian motion, long memory, ARFIMA, simulation.
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