Wavelet-based simulation of fractional Brownian motion revisited (Q2484415)
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scientific article; zbMATH DE number 2189399
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| English | Wavelet-based simulation of fractional Brownian motion revisited |
scientific article; zbMATH DE number 2189399 |
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Wavelet-based simulation of fractional Brownian motion revisited (English)
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1 August 2005
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The author considers wavelet-based simulation procedures for fractional Brownian motion, paying special attention to the one proposed by Abry and Sellan and a wavelet expansion by Sellan, Meyer et al. for decorrelation of high-frequencies, and a pyramidal Mallat-type scheme. He is interested in the working of such methods, investigates the structure of low- and high-pass filters and suggests modifications to the algorithms.
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low- and high-pass filters
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zero moments
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FARIMA time series
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0.8542268872261047
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0.8542268872261047
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0.8186793327331543
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