title: Wavelet-Variance-Based Estimation for Composite Stochastic Processes.
abstract: This article presents a new estimation method for the parameters of a time series model. We consider here composite Gaussian processes that are the sum of independent Gaussian processes which, in turn, explain an important aspect of the time series, as is the case in engineering and natural sciences. The proposed estimation method offers an alternative to classical estimation based on the likelihood, that is straightforward to implement and often the only feasible estimation method with complex models. The estimator furnishes results as the optimization of a criterion based on a standardized distance between the sample wavelet variances (WV) estimates and the model-based WV. Indeed, the WV provides a decomposition of the variance process through different scales, so that they contain the information about different features of the stochastic model. We derive the asymptotic properties of the proposed estimator for inference and perform a simulation study to compare our estimator to the MLE and the LSE with different models. We also set sufficient conditions on composite models for our estimator to be consistent, that are easy to verify. We use the new estimator to estimate the stochastic error's parameters of the sum of three first order Gauss-Markov processes by means of a sample of over 800,000 issued from gyroscopes that compose inertial navigation systems. Supplementary materials for this article are available online.
authors.affiliation: Stéphane Guerrier is PhD student, Research Center for Statistics, HEC Genève, University of Geneva, Geneva, Switzerland (E-mail: Stephane.Guerrier@unige.ch ).
authors.forename: Stéphane
authors.initials: S
authors.lastname: Guerrier
authors.forename: Jan
authors.initials: J
authors.lastname: Skaloud
authors.forename: Yannick
authors.initials: Y
authors.lastname: Stebler
authors.forename: Maria-Pia
authors.initials: MP
authors.lastname: Victoria-Feser
keywords: Allan variance; Kalman filter; Signal processing; Time series