On the automatic selection of the onset of scaling

Fractals

Volumn 11, Issue 4, 2003, Pages 377-390

  Veitch, Darryl ^a   Abry, Patrice ^b   Taqqu, Murad S ^c  

^a UNIVERSITY OF MELBOURNE   (Australia)

^b Laboratoire de Physique UMR CNRS ENSL   (France)

^c USA   (United States)

Author keywords

FARIMA; Fractional Gaussian Noise; Long range Dependence; Self similarity; Wavelets

Indexed keywords

EID: 0442291563     PISSN: 0218348X     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0218348X03002099     Document Type: Article

References (13)

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10. M. S. Taqqu and V. Teverovsky, "On Estimating the Intensity of Long-Range Dependence in Finite and Infinite Variance Series," in A Practical Guide to Heavy Tails: Statistical Techniques and Applications, eds. R. Adler, R. Feldman and M. S. Taqqu (Birkhäuser, Boston, 1998), pp. 177-217.
11. D. Veitch and P. Abry, "A Wavelet Based Joint Estimator of the Parameters of Long-Range Dependence," IEEE Trans. Inf. Theory Special Issue "Multiscale Statistical Signal Analysis and Its Applications" 45(3), 878-897 (April 1999).
12. D. Veitch, M. Taqqu and P. Abry, "Meaningful MRA Initialisation for Discrete Time Series," Signal Processing 8, 1971-1983 (2000).
13. D. Veitch and P. Abry, "Matlab Code for the Wavelet Based Analysis of Scaling Processes," http://www.cubinlab.ee.mu.oz.au/̃darryl/.