• Corpus ID: 231879664

On high-dimensional wavelet eigenanalysis

@inproceedings{Abry2021OnHW,
  title={On high-dimensional wavelet eigenanalysis},
  author={Patrice Abry and B. Cooper Boniece and Gustavo Didier and Herwig Wendt},
  year={2021}
}
In this paper, we characterize the asymptotic and large scale behavior of the eigenvalues of wavelet random matrices in high dimensions. We assume that possibly non-Gaussian, finite-variance p-variate measurements are made of a low-dimensional r-variate (r ≪ p) fractional stochastic process with non-canonical scaling coordinates and in the presence of additive high-dimensional noise. The measurements are correlated both time-wise and between rows. We show that the r largest eigenvalues of the… 
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