Abstract
Consider the fractional Brownian motion process $B_H(t), t\in [0,T]$, with parameter $H\in (0,1)$. Meyer, Sellan and Taqqu have developed several random wavelet representations for $B_H(t)$, of the form $\sum_{k=0}^\infty U_k(t)\epsilon_k$ where $\epsilon_k$ are Gaussian random variables and where the functions $U_k$ are not random. Based on the results of Kühn and Linde, we say that the approximation $\sum_{k=0}^n U_k(t)\epsilon_k$ of $B_H(t)$ is optimal if $$ \displaystyle \left( E \sup_{t\in [0,T]} \left| \sum_{k=n}^\infty U_k(t) \epsilon_k\right|^2 \right)^{1/2} =O \left( n^{-H} (1+\log n)^{1/2} \right), $$ as $n\rightarrow\infty$. We show that the random wavelet representations given in Meyer, Sellan and Taqqu are optimal.
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Communicated by Yves Meyer.
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Ayache, A., Taqqu, M. Rate Optimality of Wavelet Series Approximations of Fractional Brownian Motion. J. Fourier Anal. Appl. 9, 451–471 (2003). https://doi.org/10.1007/s00041-003-0022-0
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DOI: https://doi.org/10.1007/s00041-003-0022-0