• DocumentCode
    3801970
  • Title

    Decorrelation of Wavelet Coefficients for Long-Range Dependent Processes

  • Author

    Jan Mielniczuk;Piotr Wojdyllo

  • Author_Institution
    Inst. of Comput. Sci., Polish Acad. of Sci., Warsaw
  • Volume
    53
  • Issue
    5
  • fYear
    2007
  • Firstpage
    1879
  • Lastpage
    1883
  • Abstract
    We consider a discrete-time stationary long-range dependent process (Xk)kisinZ such that its spectral density equals phi(|lambda|)-2d, where phi is a smooth function such that phi(0)=phi´´(0)=0 and phi(lambda)gesclambda for lambdaisin[0,pi]. Then for any wavelet psi with N vanishing moments, the lag k within-level covariance of wavelet coefficients decays as O(k2d-2N-1) when krarrinfin. The result applies to fractionally integrated autoregressive moving average (ARMA) processes as well as to fractional Gaussian noise
  • Keywords
    "Decorrelation","Wavelet coefficients","Gaussian noise","Surges","Finance","Computer science","Mathematics","Standardization","Continuous wavelet transforms","Wavelet transforms"
  • Journal_Title
    IEEE Transactions on Information Theory
  • Publisher
    ieee
  • ISSN
    0018-9448
  • Type

    jour

  • DOI
    10.1109/TIT.2007.894679
  • Filename
    4167747
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3801970