On Estimating the Spectral Exponent of Fractional Brownian Motion

IEEE Transactions on Information Theory

Volumn 41, Issue 1, 1995, Pages 233-244

  Leu, Jenn Sen ^a   Papamarcou, Adrian ^b  

^a NATIONAL TAIPEI UNIVERSITY OF TECHNOLOGY   (Taiwan)

^b UNIVERSITY OF MARYLAND   (United States)

Author keywords

1 f noise; Allan variance; flicker noise; fractional Brownian motion; fractional processes; Hurst coefficient; linear regression; maximum likelihood estimation; periodogram

Indexed keywords

APPROXIMATION THEORY; ESTIMATION; FREQUENCY DOMAIN ANALYSIS; FREQUENCY STABILITY; MATHEMATICAL MODELS; MATHEMATICAL TRANSFORMATIONS; REGRESSION ANALYSIS; SPURIOUS SIGNAL NOISE; TIME SERIES ANALYSIS;

ASYMPTOTIC THEORY; FLICKER NOISE; FRACTIONAL BROWNIAN MOTION; HURST COEFFICIENT; MAXIMUM LIKELIHOOD ESTIMATOR; MEAN SQUARE ERROR; PERIODOGRAM; POWER SPECTRAL DENSITY;

INFORMATION THEORY;

EID: 0029209094     PISSN: 00189448     EISSN: 15579654     Source Type: Journal    
DOI: 10.1109/18.370105     Document Type: Article

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