Probability density of the empirical wavelet coefficients of a noisy chaos

• Probability density function of the empirical wavelet coefficients of a noisy chaos.
• Aim: denoise the chaos optimally.
• Non-linear noise influence: a new kind of signal processing.
• Dynamic or measurement noise, described by alpha-stable random variables.
• We study both unidimensional and multidimensional chaos.

We are interested in the random empirical wavelet coefficients of a noisy signal when this signal is a unidimensional or multidimensional chaos. More precisely we provide an expression of the conditional probability density of such coefficients, given a discrete observation grid. The noise is assumed to be described by a symmetric alpha-stable random variable. If the noise is a dynamic noise, then we present the exact expression of the probability density of each wavelet coefficient of the noisy signal. If we face a measurement noise, then the noise has a non-linear influence and we propose two approximations. The first one relies on a Taylor expansion whereas the second one, relying on an Edgeworth expansion, improves the first general Taylor approximation if the cumulants of the noise are defined. We give some illustrations of these theoretical results for the logistic map, the tent map and a multidimensional chaos, the Hénon map, disrupted by a Gaussian or a Cauchy noise.