Gustavo Didier

Integral representations and properties of operator fractional Brownian motions

Operator fractional Brownian motions (OFBMs) are (i) Gaussian, (ii) operator self-similar, and (iii) stationary increment processes. They are the natural multivariate generalizations of the well-studied fractional Brownian motions. Because of the possible lack of time reversibility, the deflning properties (i)-(iii) do not, in general, characterize the covariance structure of OFBMs. To circumvent this problem, the class of OFBMs is characterized here through their integral representations in the spectral and time domains. For the spectral domain representations, this involves showing how the operator self-similarity shapes the spectral density in the general representation of stationary increment processes. The time domain representations are derived by using primary matrix functions and by taking the Fourier transform of the deterministic spectral domain kernels. Necessary and su‐cient conditions for OFBMs to be time reversible are established in terms of their spectral and time domain representations. It is also shown that the spectral density of the stationary increments of OFBM has a rigid structure, called here Dichotomy Principle. The notion of operator Brownian motions is also explored.

On the Behrens–Fisher problem: A globally convergent algorithm and a finite-sample study of the Wald, LR and LM tests

In this paper we provide a provably convergent algorithm for the multivariate Gaussian Maximum Likelihood version of the Behrens-Fisher Problem. Our work builds upon a formulation of the log-likelihood function proposed by Buot and Richards [5]. Instead of focusing on the first order optimality conditions, the algorithm aims directly for the maximization of the log-likelihood function itself to achieve a global solution. Convergence proof and complexity estimates are provided for the algorithm. Computational experiments illustrate the applicability of such methods to high-dimensional data. We also discuss how to extend the proposed methodology to a broader class of problems. We establish a systematic algebraic relation between the Wald, Likelihood Ratio and Lagrangian Multiplier Test (W ≥ LR ≥ LM) in the context of the Behrens-Fisher Problem. Moreover, we use our algorithm to computationally investigate the finite-sample size and power of the Wald, Likelihood Ratio and Lagrange Multiplier Tests, which previously were only available through asymptotic results. The methods developed here are applicable to much higher dimensional settings than the ones available in the literature. This allows us to better capture the role of high dimensionality on the actual size and power of the tests for finite samples.

Statistical Challenges in Microrheology

Microrheology is the study of the properties of a complex fluid through the diffusion dynamics of small particles, typically latex beads, moving through that material. Currently, it is the dominant technique in the study of the physical properties of biological fluids, of the material properties of membranes or the cytoplasm of cells, or of the entire cell. The theoretical underpinning of microrheology was given in Mason and Weitz (Physical Review Letters; 1995), who introduced a framework for the use of path data of diffusing particles to infer viscoelastic properties of its fluid environment. The multi‐particle tracking techniques that were subsequently developed have presented numerous challenges for experimentalists and theoreticians. This study describes some specific challenges that await the attention of statisticians and applied probabilists. We describe relevant aspects of the physical theory, current inferential efforts and simulation aspects of a central model for the dynamics of nano‐scale particles in viscoelastic fluids, the generalized Langevin equation.

Wavelet estimation for operator fractional Brownian motion

Operator fractional Brownian motion (OFBM) is the natural vector-valued extension of the univariate fractional Brownian motion. Instead of a scalar parameter, the law of an OFBM scales according to a Hurst matrix that affects every component of the process. In this paper, we develop the wavelet analysis of OFBM, as well as a new estimator for the Hurst matrix of bivariate OFBM. For OFBM, the univariate-inspired approach of analyzing the entry-wise behavior of the wavelet spectrum as a function of the (wavelet) scales is fraught with difficulties stemming from mixtures of power laws. The proposed approach consists of considering the evolution along scales of the eigenstructure of the wavelet spectrum. This is shown to yield consistent and asymptotically normal estimators of the Hurst eigenvalues, and also of the coordinate system itself under assumptions. A simulation study is included to demonstrate the good performance of the estimators under finite sample sizes.

Adaptive wavelet decompositions of stationary time series

A general and flexible framework for the wavelet-based decompositions of stationary time series in discrete time, called adaptive wavelet decompositions (AWDs), is introduced. It is shown that several particular AWDs can be constructed with the aim of providing decomposition (approximation and detail) coefficients that exhibit certain nice statistical properties, where the latter can be chosen based on a range of theoretical or applied considerations. AWDs make use of a Fast Wavelet Transform-like algorithm whose filters - in contrast with their counterparts in Orthogonal Wavelet Decompositions (OWDs) – may depend on the scale. As with OWDs, this algorithm has good properties such as computational efficiency and invariance to polynomial trends. A property whose pursuit plays a central role in this work is the decorrelation of the detail coefficients. For many time series models (e.g., FARIMA(0,δ,0)), the AWD filters can be defined so that the resulting AWD detail coefficients are all (exactly) decorrelated. The corresponding AWDs, called Exact AWDs (EAWDs), are particularly useful in simulation of Gaussian stationary time series, if the associated filters have a fast decay. The proposed simulation methods generalize and improve upon existing wavelet-based ones. AWDs for which the detail coefficients are not exactly decorrelated, but still more decorrelated than those of OWDs, are referred to as approximate AWDs (AAWDs). They can be obtained by truncating EAWD filters, or by adopting some of the existing approaches to modeling the dependence structure of the OWD detail coefficients (e.g., Craigmile et al., 2005). AAWDs naturally lead to new wavelet-based Maximum Likelihood estimators. The performance of these estimators is investigated through simulations and from some theoretical standpoints. The focus in estimation is also on Gaussian stationary series, though the method is expected to work for non-Gaussian stationary series as well.

Demixing multivariate-operator self-similar processes

Operator self-similarity naturally extends the concepts of univariate self-similarity and scale invariance to multivariate data. Beyond a vector of Hurst parameters, operator self-similarity models also involve a mixing matrix. The present contribution aims at estimating the collection of Hurst parameters in the case where the mixing matrix is not diagonal. To the best of our knowledge, this has never been achieved. In addition, the mixing matrix is also identified. The devised procedure relies on a source separation methodology, since the underlying components of the operator self-similar process are assumed to have a diagonal pre-mixing covariance structure. The principle behind the demixing procedure is illustrated based on synthetic 4-variate operator self-similar processes, with a priori prescribed and controlled Hurst parameters and mixing matrix. Identification and estimation performance for both Hurst parameters and mixing matrices are shown to be very satisfactory, using large size Monte Carlo simulations.

Multivariate Hadamard self-similarity: Testing fractal connectivity

While scale invariance is commonly observed in each component of real world multivariate signals, it is also often the case that the inter-component correlation structure is not fractally connected, i.e., its scaling behavior is not determined by that of the individual components. To model this situation in a versatile manner, we introduce a class of multivariate Gaussian stochastic processes called Hadamard fractional Brownian motion (HfBm). Its theoretical study sheds light on the issues raised by the joint requirement of entry-wise scaling and departures from fractal connectivity. An asymptotically normal wavelet-based estimator for its scaling parameter, called the Hurst matrix, is proposed, as well as asymptotically valid confidence intervals. The latter are accompanied by original finite sample procedures for computing confidence intervals and testing fractal connectivity from one single and finite size observation. Monte Carlo simulation studies are used to assess the estimation performance as a function of the (finite) sample size, and to quantify the impact of omitting wavelet cross-correlation terms. The simulation studies are shown to validate the use of approximate confidence intervals, together with the significance level and power of the fractal connectivity test. The test performance and properties are further studied as functions of the HfBm parameters.

Non-Linear Wavelet Regression and Branch & Bound Optimization for the Full Identification of Bivariate Operator Fractional Brownian Motion

Self-similarity is widely considered the reference framework for modeling the scaling properties of real-world data. However, most theoretical studies and their practical use have remained univariate. Operator fractional Brownian motion (OfBm) was recently proposed as a multivariate model for self-similarity. Yet, it has remained seldom used in applications because of serious issues that appear in the joint estimation of its numerous parameters. While the univariate fractional Brownian motion requires the estimation of two parameters only, its mere bivariate extension already involves seven parameters that are very different in nature. The present contribution proposes a method for the full identification of bivariate OfBm (i.e., the joint estimation of all parameters) through an original formulation as a non-linear wavelet regression coupled with a custom-made Branch & Bound numerical scheme. The estimation performance (consistency and asymptotic normality) is mathematically established and numerically assessed by means of Monte Carlo experiments. The impact of the parameters defining OfBm on the estimation performance as well as the associated computational costs are also thoroughly investigated.

On the wavelet-based simulation of anomalous diffusion

The field of microrheology is based on experiments involving particle diffusion. Microscopic tracer beads are placed into a non-Newtonian fluid and tracked using high speed video capture and light microscopy. The modelling of the behaviour of these beads is now an active scientific area which demands multiple stochastic and statistical methods. We propose an approximate wavelet-based simulation technique for two classes of continuous time anomalous diffusion models, the fractional Ornstein–Uhlenbeck process and the fractional generalized Langevin equation. The proposed algorithm is an iterative method that provides approximate discretizations that converge quickly and in an appropriate sense to the continuous time target process. As compared to previous works, it covers cases where the natural discretization of the target process does not have closed form in the time domain. Moreover, we propose to minimize the border effect via smoothing.

Wavelet eigenvalue regression for n-variate operator fractional Brownian motion

In this contribution, we extend the methodology proposed in Abry and Didier (2017) to obtain the first joint estimator of the real parts of the Hurst eigenvalues of