Statistical study of the wavelet analysis of fractional Brownian motion

IEEE Transactions on Information Theory

Volumn 48, Issue 4, 2002, Pages 991-999

  Bardet, Jean Marc ^a  

^a INSTITUT DE MATHÉMATIQUES DE TOULOUSE   (France)

Author keywords

Estimation of the self similarity index; Fractional Brownian motion; Self similarity; Wavelet analysis

Indexed keywords

MATRIX ALGEBRA; PARAMETER ESTIMATION; SIGNAL PROCESSING; THEOREM PROVING; TIME SERIES ANALYSIS; WAVELET TRANSFORMS;

FRACTIONAL BROWNIAN MOTIONS (FBM); SELF-SIMILAR GAUSSIAN PROCESSES;

BROWNIAN MOVEMENT;

EID: 0036539276     PISSN: 00189448     EISSN: None     Source Type: Journal    
DOI: 10.1109/18.992817     Document Type: Article

References (11)

1. The wavelet-based synthesis for the fractional Brownian motion proposed by F. Sellan and Y. Meyer: Remarks and fast implementation
2. Long-range dependence: Revisiting aggregation with wavelets
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4. Wavelet estimator of long-range dependent processes
5. Stochastic integral representation and properties of the wavelet coefficients of linear fractional stable motion
6. Wavelet analysis and synthesis of fractional Brownian motion
7. Multiple-window wavelet transform and local scaling exponent estimation
8. The wavelet transform of stochastic processes with stationary increments and its application to fractional Brownian motion
9. Daubechies' scaling function on [0, 3]
10. Stable non-Gaussian random processes