Identification of the multiscale fractional Brownian motion with biomechanical applications

DOI10.1111/J.1467-9892.2006.00494.XzbMath1164.62034arXivmath/0701873OpenAlexW2065572004MaRDI QIDQ5430490

Pierre R. Bertrand, Jean-Marc Bardet

Publication date: 16 December 2007

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0701873

zbMATH Keywords

wavelet transformHurst parametergoodness-of-fit testasymptotic normality of estimate

Mathematics Subject Classification ID

Applications of statistics to biology and medical sciences; meta analysis (62P10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Markov processes: estimation; hidden Markov models (62M05) Brownian motion (60J65) Biomechanics (92C10)

Related Items (13)

Classifying heartrate by change detection and wavelet methods for emergency physicians ⋮ MULTIDIMENSIONAL BIFRACTIONAL BROWNIAN MOTION: ITÔ AND TANAKA FORMULAS ⋮ DEFINITION, PROPERTIES AND WAVELET ANALYSIS OF MULTISCALE FRACTIONAL BROWNIAN MOTION ⋮ Modelling NASDAQ series by sparse multifractional Brownian motion ⋮ A new process for modeling heartbeat signals during exhaustive run with an adaptive estimator of its fractal parameters ⋮ Modeling single-file diffusion with step fractional Brownian motion and a generalized fractional Langevin equation ⋮ Discretization error of wavelet coefficient for fractal like processes ⋮ Adaptive wavelet-based estimator of the memory parameter for stationary Gaussian processes ⋮ A packing dimension theorem for Gaussian random fields ⋮ A minimum description length approach to hidden Markov models with Poisson and Gaussian emissions. Application to order identification ⋮ HURST EXPONENTS AND DELAMPERTIZED FRACTIONAL BROWNIAN MOTIONS ⋮ A Non-Parametric Estimator of the Spectral Density of a Continuous-Time Gaussian Process Observed at Random Times ⋮ Asymptotic behavior of mixed power variations and statistical estimation in mixed models

Cites Work

• Unnamed Item
• Unnamed Item
• Detection of multiple changes in a sequence of dependent variables
• Identifying the multifractional function of a Gaussian process
• Elliptic Gaussian random processes
• Quadratic variations and estimation of the local Hölder index of a Gaussian process
• Arbitrage in fractional Brownian motion models
• Decomposition of self-similar stable mixed moving averages
• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• Least‐squares Estimation of an Unknown Number of Shifts in a Time Series
• Testing for the Presence of Self-Similarity of Gaussian Time Series Having Stationary Increments
• DEFINITION, PROPERTIES AND WAVELET ANALYSIS OF MULTISCALE FRACTIONAL BROWNIAN MOTION
• Wavelet analysis and synthesis of fractional Brownian motion
• Asymptotic Statistics
• Arbitrage with Fractional Brownian Motion
• Estimating and Testing Linear Models with Multiple Structural Changes
• Statistical study of the wavelet analysis of fractional Brownian motion
• Fractional Brownian Motions, Fractional Noises and Applications
• Wavelet estimator of long-range dependent processes.

This page was built for publication: Identification of the multiscale fractional Brownian motion with biomechanical applications