9 views

Uploaded by Wonsang You

A long memory process has self-similarity or scale-invariant properties in low frequencies. We prove that the log of the scale-dependent wavelet variance for a long memory process is asymptotically proportional to scales by using the Taylor expansion of wavelet variances.

- 531notesv2 (SPC)
- Coup the Resistance
- An Honest Gauge R&R Study.pdf
- Jack A. Tuszynski- NL2678: Renormalization groups
- Combining Random Variables Answers
- Epidemiology_Cheat_Sheets.pdf
- ABSTRACT Final Document
- Probability Practice Question
- Repeatability
- SHABRINA_2D250418_RAK1
- 06625910
- Dynamic Structural Equation Models - Asparouhov Et Al (2018)
- 15MA301_aug16
- IMP 1 probability.pdf
- Unit 4-Linear Models, ...
- notes4 with Differentiation and integration
- HIN 12-03-2017
- Class_12-02
- hasil hitung SPSS
- 3 Kernel-based Autoregressive Modelingwith a Pre-image Technique

You are on page 1of 4

Special Lab Non-Invasive Brain Imaging, Leibniz Institute for Neurobiology, Magdeburg, Germany you@ifn-magdeburg.de 2 Institute of Biomedical Engineering and Instrumentation, Wroclaw University of Technology, Wroclaw, Poland wojciech.kordecki@pwr.wroc.pl

1

Abstract. A long memory process has self-similarity or scale-invariant properties in low frequencies. We prove that the log of the scale-dependent wavelet variance for a long memory process is asymptotically proportional to scales by using the Taylor expansion of wavelet variances. Keywords: long memory process, Taylor expansion

Introduction

Many natural phenomena have shown self-similarity or fractal properties in diverse areas. It is well known that time series in neuroimaging such as electroencephalogram, magnetoencephalogram, and functional MRI have fractal properties [1, 2]. Most of fractal time series can be well modeled as long memory processes. A long memory process generally has scale-invariant properties in low frequencies; for example, the scale-dependent wavelet variance has asymptotically power law relationship in low-frequency scales, which implies its fractal property [4]. Such a property also has been demonstrated by Achard et al. [3] by exploiting the Taylor expansion of wavelet variances; regrettably, they did not provide the detailed proof. Here, we show the detailed procedure of Achard et al.s proof.

A long memory process can be dened as follows as suggested by Moulines et al. [4]; that is, a real-valued discrete process X := {X(t)}t=1, ,N is said to have long memory if it is covariance stationary and have the spectral density SX (f ) = 1 eif

2d SX (f )

(1)

for 0 < d < 1/2 where SX (f ) is a non-negative symmetric function and is bounded on (, ).

Theorem 1. Let Wj,k is the wavelet coecient of the time series X at the j-th scale and the k-th location, and let Hj (f ) be the squared gain function of the wavelet lter such that { j 2 for 2/2j+1 |f | 2/2j Hj (f ) . (2) 0 otherwise Then, (j) := Var (Wj,t ) satises (j) = 2

Hj (f )SX (f )df.

(3)

Achard et al. [3] made its Taylor expansion to estimate the long memory parameter of X as shown in the corollary 1. We give the detailed proof of the corollary 1. ( ) Corollary 1. Let SX (f ) = 1 + f 2 + o f 2 . Then, (j) = 22j+1 where ( )) ( 1 1 Re (S(f )) df = K22dj 1 + a2 2j + o 2 22j 2/2j+1

2/2j

(4)

1 1/212d 22d (2) , 1 2d ) ( )( 1 1/232d / (3 2d) d 2 a2 = (2) + . 12 (1 1/212d ) / (1 2d) K=2 ( )2(1d) ( ) f + o f3 . 2

(5) (6)

2d

(f /2) = (f /2)

2d

2d + 6

(7)

2d

(( ) ( )2(1d) ) 2d ( ( )) f 2d f + 1 + f 2 + o f 2 . 2 6 2

(8)

Let us dene four integrals: ( ) ( )2d 22d 2 2j(2d1) f I1 := df = := A1 2j(2d1) , 2 (2d 1) 2d 2/2j+1

2/2j

(9)

( ) ( )2d 3 22d 8 2j(2d3) f 2 I2 := , f df = 2 (2d 3) 2d 2/2j+1 ( ) 2/2j ( )2(1d) 3 22d 8 2j(2d3) f I3 := , df = 2 4 (2d 3) 2d 2/2j+1

2/2j

(10)

(11)

( ) ( )2(1d) 5 22d 32 2j(2d5) f 2 I4 := := A4 2j(2d5) . f df = 2 4 (2d 5) 2d 2/2j+1 a+f 2 Since if h (f ) 0 for f 0 then a h (f ) df = o((f ) ),

2/2j

(12)

2/2j

(13)

I6 :=

2/2j

(14)

2/2j+1 2/2j

(j) = 2j+2(1d)

[(

where a2 := ( + d/12) M12 ) ( )( 1 1/232d / (3 2d) d 2 = (2) + . 12 (1 1/212d ) / (1 2d) Then, we can have

where K := A1 22(1d) = 2

(16)

In the corollary (1), as the scale j increases, the wavelet variance (j) converges; in other words, (j) K22dj . (17) It implies that we can simply estimate the long memory parameter d by linear regression method if we have the estimates of wavelet variances.

Discussion

We veried Achard et al.s proof on asymptotic properties of wavelet variances of a long memory process. Unfortunately, Achard et al.s Taylor expansion of wavelet variance is not perfectly consistent with our result; while K = 12d 12d 22d 12d 2 11/2 (2) in our result, they computed as K = 2 11/2 (2) . 12d 12d On the other hand, the assumption on short memory such that SX (f ) = ( ) 1 + f 2 + o f 2 loses generality of their proof since there exist more general classes of short memory; indeed, Moulines et al. proved that the asymptotics of wavelet variances hold when the short memory SX (f ) belongs to the function set H (, L) dened as the set of even non-negative functions g on [1/2, 1/2] such that |g(f ) g(0)| Lg(0) |2f | . (18) Nevertheless, their method is relatively simpler than other mathematical proofs. Moreover, we will be able to apply their method to investigate the asymptotic properties of multivariate long memory processes as Achard et al. already attempted for bivariate long memory processes [3].

References

1. E. Bullmore, J. Fadili, V. Maxim, L. Sendur, B. Whitcher, J. Suckling, et al., Wavelets and functional magnetic resonance imaging of the human brain., NeuroImage. 23 Suppl 1 (2004) S23449. 2. V. Maxim, L. Sendur, J. Fadili, J. Suckling, R. Gould, R. Howard, et al., Fractional Gaussian noise, functional MRI and Alzheimers disease, NeuroImage. 25 (2005) 141158. 3. S. Achard, D.S. Bassett, A. Meyer-Lindenberg, E. Bullmore, Fractal connectivity of long-memory networks, Physical Review E. 77 (2008) 112. 4. E. Moulines, F. Roue, M. Taqqu, On the Spectral Density of the Wavelet Coefcients of Long-Memory Time Series with Application to the Log-Regression Estimation of the Memory Parameter, Journal Of Time Series Analysis. 28 (2007) 155187. 5. D.B. Percival, A.T. Walden, Wavelet methods for time series analysis, Cambridge University Press, 2000.

- 531notesv2 (SPC)Uploaded byRaju
- Coup the ResistanceUploaded byndc6105058
- An Honest Gauge R&R Study.pdfUploaded byAbi Zuñiga
- Jack A. Tuszynski- NL2678: Renormalization groupsUploaded byKiomax
- Combining Random Variables AnswersUploaded byRahul Kumar Gupta
- Epidemiology_Cheat_Sheets.pdfUploaded byRAKAN
- ABSTRACT Final DocumentUploaded bySatyajeet Chauhan
- Probability Practice QuestionUploaded byNavin Rai
- RepeatabilityUploaded byVirus Aja
- SHABRINA_2D250418_RAK1Uploaded byafidah khoiru ummah
- 06625910Uploaded byPradeep Kundu
- Dynamic Structural Equation Models - Asparouhov Et Al (2018)Uploaded byEduardo Aguirre Dávila
- 15MA301_aug16Uploaded byS-Karthik
- IMP 1 probability.pdfUploaded bySanjay Tiwari
- Unit 4-Linear Models, ...Uploaded byGlennadi Rualo
- notes4 with Differentiation and integrationUploaded bySohaKhan
- HIN 12-03-2017Uploaded byNimo Ningthouja
- Class_12-02Uploaded byjnplnce
- hasil hitung SPSSUploaded byAlliza Rizky Ayu
- 3 Kernel-based Autoregressive Modelingwith a Pre-image TechniqueUploaded bysavan
- IAR Lim Jason Homework2Uploaded byJason Lim
- 11 Stat PrelimUploaded byLucas Piroulus
- BU EC507 SyllabusUploaded byAyur Tadimalla
- Auto-identification of engine fault acoustic signal through inverse trigonometric instantaneous frequency analysisUploaded byJean Carlos Pineda
- Important Statistics Formulas SLUUploaded byJustine Somentac
- Change-point Detection in Time Series Data by Relative Density-Ratio EstimationUploaded bymuhammadriz
- imm2807Uploaded byMahesh G Raju
- MECH_Probability and StatisticsUploaded byprachi
- Direct Labor Yield VarianceUploaded byGaurav_badgria
- Chapter 5Uploaded byDoug Bezeredi

- Fractal-based Correlation Analysis for Resting State Functional Connectivity of the Rat Brain in Functional MRIUploaded byWonsang You
- H.264/AVC 인코더 참조 소프트웨어 구조 분석서Uploaded byWonsang You
- Spatial-Domain Transcoder with Reused Motion Vectors in H.264/AVCUploaded byWonsang You
- A Study on Moving Object Detection and Tracking with Partial Decoding in H.264|AVC Bitstream DomainUploaded byWonsang You
- Real-time detection and tracking of multiple objects with partial decoding in H.264/AVC bitstream domainUploaded byWonsang You
- Moving Object Tracking in H.264/AVC BitstreamUploaded byWonsang You

- l3 unit 6Uploaded byapi-393260654
- Abstract of Cebuano MusicUploaded byStephenTumulak
- SamplingUploaded bymnadeem_248131
- Iccp 2010 ReportUploaded byfahlevy
- 2Design2Uploaded byjcvalencia
- KPMG Global IT Project Management Survey 0508Uploaded byJuan Perez
- CES 14 Galic PlecasUploaded bylibertasdu
- NnnnUploaded byMourya Teja
- Study+39eUploaded byFreddy Vargas
- Duration of wrinkle correction following repeat treatment with Juvéderm hyaluronic acid fillers.docxUploaded bysamantha82
- FEM_PYTHON.pdfUploaded byNikola Andjelic
- HejasePaperSexualHarassment6965 24946 1 PBUploaded byCharan Gorentla
- Topo AssAnswerKey02Uploaded byTirthankar Datta
- Thesis: Spare TireUploaded byRachael Tuico Abas
- challenges facing inventory management of essential medicines in Chunya - DistrictUploaded byTwaha R. Kabandika
- 9.3, Madhuri GuptaUploaded byitistysondog
- A Research Perspective on Impact of Employee Engagement on 3 P s in Aviation IndustryUploaded bySamsul Hidayat
- Bridge Replacement for Improved Rural Access Sector Project in Papua New GuineaUploaded byADBGAD
- Lecture_notes_Statistics_II.pdfUploaded bySang Huynh
- Data DesignUploaded byJoel León
- Sicar Rock, Dunbar, East LotianUploaded byWessex Archaeology
- tpi and ideaUploaded byapi-236084849
- Bucking of Thin Concrete DomesUploaded bySack David
- Need Scope and My ObjUploaded byKaran Shoor
- bhaskar.pptUploaded byDiganta Boro
- Evaluare perceptieUploaded bycare
- Appendix AUploaded byazough
- rodchua092006Uploaded byFahad Izhar
- Need AssessmentUploaded byQodri Atmadinata
- Final Examination BFC 21303 SEM21516Uploaded byMohammad Asnizam