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Conference Papers Year : 2010

Asymptotic Statistics for the Scalogram of a Time Series

Abstract

The scalogram of a time series is defined as the quadratic mean of a multiscale analysis. The latter can be obtained using a wavelet analysis, or, more generally, using a sequence of filters of increasing scales, each one being followed by a temporal subsampling of order proportional to the analyzing scale. We will describe the asymptotic behavior of the scalogram as the scale and the number of observations tend to infinity, for an increment-stationary linear process with short or long memory, and of some non-linear or/and non-stationary long-memory processes.
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Dates and versions

hal-00593522 , version 1 (16-05-2011)

Identifiers

  • HAL Id : hal-00593522 , version 1

Cite

François Roueff. Asymptotic Statistics for the Scalogram of a Time Series. Fourier meets wavelets, Sep 2010, Karlsruhe, Germany. ⟨hal-00593522⟩
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