When Scattering Transform Meets Non-Gaussian Random Processes, a Double Scaling Limit Result

TL;DR

This paper investigates the asymptotic behavior of the second-order scattering transform applied to non-Gaussian processes with long-range dependence, deriving explicit limit descriptions based on wavelet parameters and the Hurst index.

Contribution

It introduces a coupling rule for scale parameters ensuring the existence of a limit and provides explicit formulas for the spectral density of the limiting process.

Findings

Limit exists under specific coupling of scale parameters.

Spectral density of the limit is explicitly characterized.

Numerical results support the theoretical assumptions.

Abstract

We explore the finite dimensional distributions of the second-order scattering transform of a class of non-Gaussian processes when all the scaling parameters go to infinity simultaneously. For frequently used wavelets, we find a coupling rule for the scale parameters of the wavelet transform within the first and second layers such that the limit exists. The coupling rule is explicitly expressed in terms of the Hurst index of the long range dependent inputs. More importantly, the spectral density function of the limiting process can be explicitly expressed in terms of the Hurst index of the long-range dependent input process and the Fourier transform of the mother wavelet. To obtain these results, we first show that the scattering transform of a class of non-Gaussian processes can be approximated by the second-order scattering transform of Gaussian processes when the scale parameters are sufficiently large. Secondly, for each approximation process, which is still a non-Gaussian random process, we show that its doubling scaling limit exists by the moment method. The long-range dependent non-Gaussian model considered in this work is realized by real data, and assumptions are supported by numerical results.