Statistical study of the wavelet analysis of fractional Brownian motion

被引：38
|
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
收藏
页码：991 / 999
页数：9
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