메뉴 건너뛰기




Volumn 6, Issue 4, 2000, Pages 403-425

Wavelet analysis and covariance structure of some classes of non-stationary processes

Author keywords

Fractional Brownian motion; Fractional increments; Locally stationary processes; Stationary increments; Stationary processes; Wavelet analysis

Indexed keywords


EID: 23044521625     PISSN: 10695869     EISSN: None     Source Type: Journal    
DOI: 10.1007/bf02510146     Document Type: Article
Times cited : (6)

References (45)
  • 2
    • 0034224578 scopus 로고    scopus 로고
    • A note on the discrete wavelet transform of second-order processes
    • to appear
    • Averkamp, R. and Houdré, C. A note on the discrete wavelet transform of second-order processes, IEEE Trans. Inform. Theory, to appear.
    • IEEE Trans. Inform. Theory
    • Averkamp, R.1    Houdré, C.2
  • 3
    • 0032069912 scopus 로고    scopus 로고
    • Some distributional properties of the continuous wavelet transform of random processes
    • Averkamp, R. and Houdré, C. (1998). Some distributional properties of the continuous wavelet transform of random processes, IEEE Trans. Inform. Theory, 44(3), 1111-1124.
    • (1998) IEEE Trans. Inform. Theory , vol.44 , Issue.3 , pp. 1111-1124
    • Averkamp, R.1    Houdré, C.2
  • 5
    • 0029308413 scopus 로고
    • On the continuous wavelet transform of second-order random processes
    • Cambanis, S. and Houdré, C. (1995). On the continuous wavelet transform of second-order random processes, IEEE Trans. Inform. Theory, 41(3), 628-642.
    • (1995) IEEE Trans. Inform. Theory , vol.41 , Issue.3 , pp. 628-642
    • Cambanis, S.1    Houdré, C.2
  • 6
    • 0002016437 scopus 로고    scopus 로고
    • A Theory of Wavelet Representation and Decomposition for a General Stochastic Process
    • Number 115 Springer-Verlag, New York
    • Cheng, B. and Tong, H. (1996). A Theory of Wavelet Representation and Decomposition for a General Stochastic Process, Number 115 in Lectures Notes in Statistics. Springer-Verlag, New York, 115-129.
    • (1996) Lectures Notes in Statistics , pp. 115-129
    • Cheng, B.1    Tong, H.2
  • 7
    • 0028515049 scopus 로고
    • On the correlation structure of the wavelet coefficients of fractional brownian motion
    • Dijkerman, R.W. and Mazumdar, R.R. (1994). On the correlation structure of the wavelet coefficients of fractional brownian motion, IEEE Trans. Inform. Theory, 40(5), 1609-1616.
    • (1994) IEEE Trans. Inform. Theory , vol.40 , Issue.5 , pp. 1609-1616
    • Dijkerman, R.W.1    Mazumdar, R.R.2
  • 8
    • 0028466653 scopus 로고
    • Wavelet representations of stochastic processes and multiresolution stochastic models
    • Dijkerman, R.W. and Mazumdar, R.R. (1994). Wavelet representations of stochastic processes and multiresolution stochastic models, IEEE Trans. Signal Proc., 42(7), 1640-1652.
    • (1994) IEEE Trans. Signal Proc. , vol.42 , Issue.7 , pp. 1640-1652
    • Dijkerman, R.W.1    Mazumdar, R.R.2
  • 9
    • 0003954462 scopus 로고
    • Wiley Publications in Statistics, Wiley, New York
    • Doob, J.L. (1953). Stochastic Processes, Wiley Publications in Statistics, Wiley, New York.
    • (1953) Stochastic Processes
    • Doob, J.L.1
  • 10
    • 34250842720 scopus 로고
    • On the spectrum of fractional brownian motion
    • Flandrin, P. (1989). On the spectrum of fractional brownian motion, IEEE Trans. Inform. Theory, 35(1), 197-199.
    • (1989) IEEE Trans. Inform. Theory , vol.35 , Issue.1 , pp. 197-199
    • Flandrin, P.1
  • 11
    • 0026628466 scopus 로고
    • Wavelet analysis and synthesis of fractional brownian motion
    • Flandrin, P. (1992). Wavelet analysis and synthesis of fractional brownian motion, IEEE Trans. Inform. Theory, 38(2), 910-917.
    • (1992) IEEE Trans. Inform. Theory , vol.38 , Issue.2 , pp. 910-917
    • Flandrin, P.1
  • 12
    • 0003769203 scopus 로고
    • John Wiley & Sons, New York
    • Folland, G.B. (1984). Real Analysis, John Wiley & Sons, New York.
    • (1984) Real Analysis
    • Folland, G.B.1
  • 13
    • 0000379443 scopus 로고
    • Generalized random processes
    • Gel'fand, I.M. (1955). Generalized random processes, Dokl. Akad. Nauk. SSSR, 100, 853.
    • (1955) Dokl. Akad. Nauk. SSSR , vol.100 , pp. 853
    • Gel'fand, I.M.1
  • 14
    • 0004007149 scopus 로고
    • Academic Press [Harcourt Brace Jovanovich Publishers], New York, [1977]. Properties and operations, Translated from the Russian by Eugene Saletan
    • Gel'fand, I.M. and Shilov, G.E. (1964). Generalized Functions. Vol. 1. Academic Press [Harcourt Brace Jovanovich Publishers], New York, [1977]. Properties and operations, Translated from the Russian by Eugene Saletan.
    • (1964) Generalized Functions. Vol. 1 , vol.1
    • Gel'fand, I.M.1    Shilov, G.E.2
  • 15
    • 0004007149 scopus 로고
    • Academic Press [Harcourt Brace Jovanovich Publishers], New York, [1977]. Applications of harmonic analysis, Translated from the Russian by Amiel Feinstein
    • Gel'fand, I.M. and Vilenkin, N.Ya. (1964). Generalized Functions. Vol. 4. Academic Press [Harcourt Brace Jovanovich Publishers], New York, [1977]. Applications of harmonic analysis, Translated from the Russian by Amiel Feinstein.
    • (1964) Generalized Functions. Vol. 4 , vol.4
    • Gel'fand, I.M.1    Vilenkin, N.Ya.2
  • 16
    • 84986792205 scopus 로고
    • An introduction to long-memory time series models and fractional differencing
    • Granger, C.W.J. and Joyeux, R. (1980). An introduction to long-memory time series models and fractional differencing, J. Time Ser. Anal., 1(1), 15-29.
    • (1980) J. Time Ser. Anal. , vol.1 , Issue.1 , pp. 15-29
    • Granger, C.W.J.1    Joyeux, R.2
  • 17
    • 77956890381 scopus 로고
    • Fractional differencing
    • Hosking, J.R.M. (1981). Fractional differencing, Biometrika, 68(1), 165-176.
    • (1981) Biometrika , vol.68 , Issue.1 , pp. 165-176
    • Hosking, J.R.M.1
  • 18
    • 0347640903 scopus 로고
    • Harmonizability, v-boundedness, (2,p)-boundedness of stochastic processes
    • Houdré, C. (1990). Harmonizability, v-boundedness, (2,p)-boundedness of stochastic processes, Probab. Th. Rel. Fields, 87, 167-188.
    • (1990) Probab. Th. Rel. Fields , vol.87 , pp. 167-188
    • Houdré, C.1
  • 19
    • 0002047331 scopus 로고
    • Wavelets, probability and statistics: Some bridges
    • Benedetto, J. and Frazier, M., Eds., CRC Press, Boca Raton, FL
    • Houdré, C. (1993). Wavelets, probability and statistics: some bridges, Wavelets: Mathematics and Applications, Benedetto, J. and Frazier, M., Eds., CRC Press, Boca Raton, FL, 361-394.
    • (1993) Wavelets: Mathematics and Applications , pp. 361-394
    • Houdré, C.1
  • 20
    • 0029343183 scopus 로고
    • Multiresolution analysis of a class of nonstationary processes
    • Krim, H. and Pesquet, J.C. (1995). Multiresolution analysis of a class of nonstationary processes, IEEE Trans. Inform. Theory, 41, 1010-1020.
    • (1995) IEEE Trans. Inform. Theory , vol.41 , pp. 1010-1020
    • Krim, H.1    Pesquet, J.C.2
  • 21
    • 0003981320 scopus 로고
    • Springer-Verlag, New York, Graduate Texts in Mathematics
    • Loève, M. (1978). Probability Theory. II. 4th ed., Springer-Verlag, New York, Graduate Texts in Mathematics, Vol. 46.
    • (1978) Probability Theory. II. 4th Ed. , vol.46
    • Loève, M.1
  • 22
    • 0032378343 scopus 로고    scopus 로고
    • Adaptive covariance estimation of locally stationary processes
    • Mallat, S., Papanicolaou, G., and Zhang, Z. (1998). Adaptive covariance estimation of locally stationary processes, Ann. Statist., 26(1), 1-47.
    • (1998) Ann. Statist. , vol.26 , Issue.1 , pp. 1-47
    • Mallat, S.1    Papanicolaou, G.2    Zhang, Z.3
  • 23
    • 0000501589 scopus 로고
    • Fractional Brownian motions, fractional noises and applications
    • Mandelbrot, B.B. and Van Ness, J.W. (1968). Fractional Brownian motions, fractional noises and applications, SIAM Rev., 10, 422-437.
    • (1968) SIAM Rev. , vol.10 , pp. 422-437
    • Mandelbrot, B.B.1    Van Ness, J.W.2
  • 24
    • 0027147153 scopus 로고
    • The wavelet transform to stochastic processes with stationary increments and its application to fractional brownian motion
    • Masry, E. (1993). The wavelet transform to stochastic processes with stationary increments and its application to fractional brownian motion, IEEE Trans. Inform. Theory, 39(1), 260-264.
    • (1993) IEEE Trans. Inform. Theory , vol.39 , Issue.1 , pp. 260-264
    • Masry, E.1
  • 25
    • 0041457570 scopus 로고    scopus 로고
    • Convergence properties of wavelet series expansions of fractional brownian motion
    • Masry, E. (1996). Convergence properties of wavelet series expansions of fractional brownian motion, Appl. Comp. Harm. Anal., 3, 239-253.
    • (1996) Appl. Comp. Harm. Anal. , vol.3 , pp. 239-253
    • Masry, E.1
  • 26
    • 0022880493 scopus 로고
    • Ergodic properties of locally stationary processes
    • Michálek, J. (1986). Ergodic properties of locally stationary processes, Kybernetika (Prague), 22(4), 320-328.
    • (1986) Kybernetika (Prague) , vol.22 , Issue.4 , pp. 320-328
    • Michálek, J.1
  • 27
    • 0022901978 scopus 로고
    • Spectral decomposition of locally stationary random processes
    • Michálek, J. (1986). Spectral decomposition of locally stationary random processes, Kybernetika (Prague), 22(3), 244-255.
    • (1986) Kybernetika (Prague) , vol.22 , Issue.3 , pp. 244-255
    • Michálek, J.1
  • 28
    • 23544444016 scopus 로고
    • Linear transformations of locally stationary processes
    • Michálek, J. (1989). Linear transformations of locally stationary processes, Apl. Mat., 34(1), 57-66.
    • (1989) Apl. Mat. , vol.34 , Issue.1 , pp. 57-66
    • Michálek, J.1
  • 30
    • 0032628799 scopus 로고    scopus 로고
    • Wavelet packet analysis of 2d processes with stationary fractional increments
    • Pesquet-Popescu, B. (1999). Wavelet packet analysis of 2d processes with stationary fractional increments, IEEE Trans. Inform. Theory, 1033-1039.
    • (1999) IEEE Trans. Inform. Theory , pp. 1033-1039
    • Pesquet-Popescu, B.1
  • 31
    • 0010519182 scopus 로고    scopus 로고
    • 2d-self-similar processes with stationary fractional increments
    • Tricot Levy Véhel, Lutton, Ed., Springer-Verlag, Berlin
    • Pesquet-Popescu, B. and Larzabal, P. (1997). 2d-self-similar processes with stationary fractional increments. In Fractals in Engineering, Tricot Levy Véhel, Lutton, Ed., Springer-Verlag, Berlin.
    • (1997) Fractals in Engineering
    • Pesquet-Popescu, B.1    Larzabal, P.2
  • 32
    • 0016102907 scopus 로고
    • Properties and applications of stochastic processes with stationary nth-order increments
    • Picinbono, B. (1974). Properties and applications of stochastic processes with stationary nth-order increments, Adv. Appl. Prob., 6, 512-523.
    • (1974) Adv. Appl. Prob. , vol.6 , pp. 512-523
    • Picinbono, B.1
  • 33
    • 0347010114 scopus 로고
    • The theory of curves in hilbert space with stationary nth increments, (Russian)
    • Pinsker, M.S. (1955). The theory of curves in hilbert space with stationary nth increments, (Russian), Izv. Akad. Nauk SSSR. Ser. Mat., 19, 319-344.
    • (1955) Izv. Akad. Nauk SSSR. Ser. Mat. , vol.19 , pp. 319-344
    • Pinsker, M.S.1
  • 34
    • 0345748904 scopus 로고
    • Random processes with stationary increments of the nth order
    • Pinsker, M.S. and Yaglom, A.M. (1954). Random processes with stationary increments of the nth order, Dokl. Akad. Nauk. SSSR, 94, 385-388.
    • (1954) Dokl. Akad. Nauk. SSSR , vol.94 , pp. 385-388
    • Pinsker, M.S.1    Yaglom, A.M.2
  • 35
    • 0026190345 scopus 로고
    • On the wavelet transform of fractional brownian motion
    • Ramanathan, J. and Zeitouni, O. (1991). On the wavelet transform of fractional brownian motion, IEEE on Information Theory, 37(4), 1156-1158.
    • (1991) IEEE on Information Theory , vol.37 , Issue.4 , pp. 1156-1158
    • Ramanathan, J.1    Zeitouni, O.2
  • 36
    • 0347640901 scopus 로고
    • Spectral analysis of abstract functions
    • Rozanov, Yu.A. (1959). Spectral analysis of abstract functions, Theor. Probab. Appl.
    • (1959) Theor. Probab. Appl.
    • Rozanov, Yu.A.1
  • 38
    • 0347640904 scopus 로고
    • Div. Electromag. Res., Inst. Math. Sci., New York University. Res. Rep. No. MME-2
    • Silverman, R.A. (1957). Locally Stationary Random Processes. Div. Electromag. Res., Inst. Math. Sci., New York University. Res. Rep. No. MME-2.
    • (1957) Locally Stationary Random Processes
    • Silverman, R.A.1
  • 39
    • 0026679673 scopus 로고
    • Correlation structure of the discrete wavelet coefficients of fractional brownian motion
    • Tewfik, A.H. and Kim, M. (1992). Correlation structure of the discrete wavelet coefficients of fractional brownian motion, IEEE Trans. Inform. Theory, 38(2), 904-909.
    • (1992) IEEE Trans. Inform. Theory , vol.38 , Issue.2 , pp. 904-909
    • Tewfik, A.H.1    Kim, M.2
  • 40
    • 0345748906 scopus 로고    scopus 로고
    • A wavelet based joint estimator for the parameters of lrd
    • Multiscale Statistical Signal Analysis and its Application
    • Veitch, D. and Abry, P. (1998). A wavelet based joint estimator for the parameters of lrd., IEEE Trans. Info. Th., special issue "Multiscale Statistical Signal Analysis and its Application."
    • (1998) IEEE Trans. Info. Th. , Issue.SPEC. ISSUE
    • Veitch, D.1    Abry, P.2
  • 41
    • 84985359559 scopus 로고
    • Integral representation for stochastic processes with nth stationary increments
    • Winkler, H. (1993). Integral representation for stochastic processes with nth stationary increments, Math. Nachr., 163, 35-44.
    • (1993) Math. Nachr. , vol.163 , pp. 35-44
    • Winkler, H.1
  • 42
    • 0027271422 scopus 로고
    • Wavelet decomposition of harmonizable random processes
    • Wong, P.W. (1993). Wavelet decomposition of harmonizable random processes, IEEE Trans. Inform. Theory, 39(1), 7-18.
    • (1993) IEEE Trans. Inform. Theory , vol.39 , Issue.1 , pp. 7-18
    • Wong, P.W.1
  • 43
    • 0002832610 scopus 로고
    • Correlation theory of processes with random nth increments
    • Yaglom, A.M. (1958). Correlation theory of processes with random nth increments, Am. Math. Soc. Transl., 8(2), 87-141.
    • (1958) Am. Math. Soc. Transl. , vol.8 , Issue.2 , pp. 87-141
    • Yaglom, A.M.1
  • 45
    • 0347535878 scopus 로고
    • Random processes with stationary increments of the nth order
    • Yaglom, A.M. and Pinsker, M.S. (1953). Random processes with stationary increments of the nth order, Dokl. Akad. Nauk. SSSR, 90, 731-734.
    • (1953) Dokl. Akad. Nauk. SSSR , vol.90 , pp. 731-734
    • Yaglom, A.M.1    Pinsker, M.S.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.