CORRELATION STRUCTURE OF THE DISCRETE WAVELET COEFFICIENTS OF FRACTIONAL BROWNIAN-MOTION

被引：201

作者：

TEWFIK, AH

KIM, M

机构：

[1] Department of Eléctrical Engineering, University of Minnesota*, Minneapolis, MN 55455

来源：

IEEE TRANSACTIONS ON INFORMATION THEORY | 1992年 / 38卷 / 02期

关键词：

WAVELETS; FRACTIONAL BROWNIAN MOTION; STOCHASTIC PROCESSES; MULTISCALE ANALYSIS;

D O I：

10.1109/18.119750

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

It is shown that the discrete wavelet coefficients of fractional Brownian motion at different scales are correlated and that their auto and cross-correlation functions decay hyperbolically fast at a rate much faster than that of the autocorrelation of the fractional Brownian motion itself. The rate of decay of the correlation function in the wavelet domain is primarily determined by the number of vanishing moments of the analyzing wavelet.

引用

页码：904 / 909

页数：6

共 13 条

[1]

Adler RJ., 1981, GEOMETRY RANDOM FIEL

[2]

BEYLKIN R, 1991, COMMUN PUR APPL MATH, V44, P141

[3] ORTHONORMAL BASES OF COMPACTLY SUPPORTED WAVELETS [J].