Identifying high-dimensional self-similarity based on spectral clustering applied to large wavelet random matrices - Signaux et Images
Communication Dans Un Congrès Année : 2024

Identifying high-dimensional self-similarity based on spectral clustering applied to large wavelet random matrices

Oliver Orejola
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Gustavo Didier
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Herwig Wendt
Patrice Abry

Résumé

In the modern world, systems are routinely monitored by multiple sensors. This generates "Big Data" in the form of large collections of time series. On the other hand, scaleinvariant (fractal) systems are of great interest in signal processing since they naturally emerge in several fields of application. In this work, we put forward an algorithm for the statistical identification of high-dimensional self-similarity. In the threefold limit as dimension, sample size and scale go to infinity, the method builds upon spectral clustering applied to large wavelet random matrices to consistently estimate the Hurst modes (exponents) and, hence, characterize high-dimensional self-similarity. Monte Carlo simulations show that the proposed methodology is efficient for realistic sample sizes.
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Dates et versions

hal-04699731 , version 1 (17-09-2024)

Identifiants

  • HAL Id : hal-04699731 , version 1

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Oliver Orejola, Gustavo Didier, Herwig Wendt, Patrice Abry. Identifying high-dimensional self-similarity based on spectral clustering applied to large wavelet random matrices. European Signal Processing Conference (EUSIPCO), Aug 2024, Lyon, France. ⟨hal-04699731⟩
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