THE WAVELET TRANSFORM OF STOCHASTIC-PROCESSES WITH STATIONARY INCREMENTS AND ITS APPLICATION TO FRACTIONAL BROWNIAN-MOTION

被引：84
|
作者：
MASRY, E
机构：
[1] Department of Electrical and Computer Engineering, University of California at San Diego, La Jolla, CA
来源：
IEEE TRANSACTIONS ON INFORMATION THEORY | 1993年 / 39卷 / 01期
关键词：
WAVELET TRANSFORM; PROCESSES WITH STATIONARY INCREMENTS; FRACTIONAL BROWNIAN MOTION;
D O I：
10.1109/18.179371
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
The wavelet transform of random processes with wide-sense stationary increments is shown to be a wide-sense stationary process whose correlation function and spectral distribution are determined. The second-order properties of the coefficients in the wavelet orthonormal series expansion of such processes is obtained. Applications to the spectral analysis and to the synthesis of fractional Brownian motion are given.
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页码：260 / 264
页数：5
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