Wavelet Packets Based Parameter Estimation of Fractional Brownian Motion Processes with Application
نویسندگان
چکیده
منابع مشابه
Wavelet estimation for operator fractional Brownian motion ∗†‡
Operator fractional Brownian motion (OFBM) is the natural vector-valued extension of the univariate fractional Brownian motion. Instead of a scalar parameter, the law of an OFBM scales according to a Hurst matrix that affects every component of the process. In this paper, we develop the wavelet analysis of OFBM, as well as a new estimator for the Hurst matrix of bivariate OFBM. For OFBM, the un...
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ژورنال
عنوان ژورنال: IEEJ Transactions on Electronics, Information and Systems
سال: 1998
ISSN: 0385-4221,1348-8155
DOI: 10.1541/ieejeiss1987.118.9_1347