Parameter estimation of fractional Brownian motion processes: Wavelet packets based

被引：0
|
作者：
Sembiring, J [1 ]
Akizuki, K [1 ]
机构：
[1] Waseda Univ, Dept Elect Elect & Comp Engn, Shinjuku Ku, Tokyo 169, Japan
来源：
(SYSID'97): SYSTEM IDENTIFICATION, VOLS 1-3 | 1998年
关键词：
maximum likelihood estimator;
D O I：
暂无
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
Correlation structure of wavelet packets will be derived first. Then it will be proved that for fractional Brownian motion (fBm) processes, correlation coefficients will decrease exponentially across the wavelet packets scales-in other words almost KL-expansion. Based on the derived theorem, it is possible to estimate the parameters of fBm processes. Flexibility of the wavelet packet structure permits us to choose the bases accordingly. From simulation results it can be concluded that by utilizing wavelet packets it is possible to get better estimate with fewer computation than the previously announced wavelet based estimation method.
引用
收藏
页码：77 / 81
页数：5
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