In this paper, we construct the wavelet eigenvalue regression methodology in high dimensions. We assume that possibly non-Gaussian, finite-variance $p$-variate measurements are made of a low-dimensional $r$-variate ($r \ll p$) 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. Building upon the asymptotic and large scale properties of wavelet random matrices in high dimensions, the wavelet eigenvalue regression is shown to be consistent and, under additional assumptions, asymptotically Gaussian in the estimation of the fractal structure of the system. We further construct a consistent estimator of the effective dimension $r$ of the system that significantly increases the robustness of the methodology. The estimation performance over finite samples is studied by means of simulations.
翻译:在本文中,我们用高维度构建了波子值回归法。 我们假设, 可能的非高空、 有限差值$- 美元变量测量是用一个低维的 $- variate (r /ll p$) 微小的随机过程, 带有非天体缩放坐标, 并存在添加高维噪音。 测量既具有时间性, 也存在于各行之间。 基于波子随机矩阵高维度的零浮和大尺度特性, 波子值回归法被证明是一致的, 在其他假设下, 在估算系统条形结构时, 平流值回归法是平时的。 我们进一步构建了系统有效维度的一致估计值 $( $ $ ), 从而大大提高了方法的稳健性。 通过模拟方法对有限样品的性能进行了估算。