Detection and Estimation of Multiplica 4 Tive Jumps Using the Continuous Wavelet Transform
نویسنده
چکیده
This paper addresses the problem of multiplicative jump detection and estimation in the time-scale plane. The signature is derived for a multiplicative jump in the time-scale plane. The signature allows the study of two wavelet based detectors. The first detector computes the Continuous Wavelet Transform (CWT) correlation with 2D signature. The second detector sums k e d scale slices of the CWT. For comparison purpose, the optimal Neyman-Pearson detector (NPD) is then derived. The NPD requires a priori knowledge of the jump and signal parameters. A suboptimal detector is presented which replaces these parameters by appropriate estimates. The performance of this detector is studied.
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