On wavelet analysis of the nth order fractional Brownian motion

In this paper, we investigate the use of wavelet techniques in the study of the nth order fractional Brownian motion (n-fBm). First, we exploit the continuous wavelet transform's capabilities in derivative calculation to construct a two-step estimator of the scaling exponent of the n-fBm process. We show, via simulation, that the proposed method improves the estimation performance of the n-fBm signals contaminated by large-scale noise. Second, we analyze the statistical properties of the n-fBm process in the time-scale plan. We demonstrate that, for a convenient choice of the wavelet basis, the discrete wavelet detail coefficients of the n-fBm process are stationary at each resolution level whereas their variance exhibits a power-law behavior. Using the latter property, we discuss a weighted least squares regression based-estimator for this class of stochastic process. Experiments carried out on simulated and real-world datasets prove the relevance of the proposed method.