Statistical study of the wavelet analysis of fractional Brownian motion

被引：39

作者：

Bardet, JM ^{[1
]}

机构：

[1] Univ Toulouse 3, Lab Stat & Probabilite, F-31062 Toulouse, France

来源：

IEEE TRANSACTIONS ON INFORMATION THEORY | 2002年 / 48卷 / 04期

关键词：

estimation of the self-similarity index; fractional Brownian motion; self-similarity; wavelet analysis;

D O I：

10.1109/18.992817

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

We present a statistical study of wavelet coefficients of a fractional Brownian motion. A central limit theorem for empirical variances of exact wavelet coefficients is given. Under conditions on the mother wavelet and the choice of scales, a limit theorem is given for fitted wavelet coefficients computed from a time series. It provides an estimator for the self-similarity parameter of Gaussian time series.

引用

页码：991 / 999

页数：9

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