Local Asymptotic Normality Property for Lacunar Wavelet Series multifractal model
ESAIM: Probability and Statistics, Tome 15 (2011), pp. 69-82.

We consider a lacunar wavelet series function observed with an additive Brownian motion. Such functions are statistically characterized by two parameters. The first parameter governs the lacunarity of the wavelet coefficients while the second one governs its intensity. In this paper, we establish the local and asymptotic normality (LAN) of the model, with respect to this couple of parameters. This enables to prove the optimality of an estimator for the lacunarity parameter, and to build optimal (in the Le Cam sense) tests on the intensity parameter.

DOI : 10.1051/ps/2009005
Classification : 60G17, 62G07
Mots-clés : local asymptotic normality, lacunar wavelet series 
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     author = {Loubes, Jean-Michel and Paindaveine, Davy},
     title = {Local {Asymptotic} {Normality} {Property} for {Lacunar} {Wavelet} {Series} multifractal model},
     journal = {ESAIM: Probability and Statistics},
     pages = {69--82},
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Loubes, Jean-Michel; Paindaveine, Davy. Local Asymptotic Normality Property for Lacunar Wavelet Series multifractal model. ESAIM: Probability and Statistics, Tome 15 (2011), pp. 69-82. doi : 10.1051/ps/2009005. http://www.numdam.org/articles/10.1051/ps/2009005/

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