Rate Optimality of Wavelet
Series Approximations of
Fractional Brownian Motion |
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Authors: | Email author" target="_blank">Antoine?AyacheEmail author Murad S?Taqqu |
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Institution: | (1) Université Paul Sabatier, Toulouse, France;(2) Boston University, Boston, USA |
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Abstract: | Consider the fractional Brownian motion process $B_H(t), t\in 0,T]$,
with parameter $H\in (0,1)$.
Meyer, Sellan and Taqqu have developed
several random wavelet representations for
$B_H(t)$, of the form $\sum_{k=0}^\infty
U_k(t)\epsilon_k$ where $\epsilon_k$ are Gaussian random
variables and where the functions $U_k$ are not random. Based on the
results of Kühn and Linde, we say that the
approximation $\sum_{k=0}^n U_k(t)\epsilon_k$ of $B_H(t)$
is optimal if
$$
\displaystyle
\left( E \sup_{t\in 0,T]} \left| \sum_{k=n}^\infty U_k(t)
\epsilon_k\right|^2 \right)^{1/2} =O
\left( n^{-H} (1+\log n)^{1/2} \right),
$$
as $n\rightarrow\infty$. We show that the random wavelet
representations given in Meyer, Sellan and
Taqqu are optimal. |
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Keywords: | |
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