On the Spectral Density of the Wavelet Transform of Fractional Brownian Motion (Q4939816)
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scientific article; zbMATH DE number 1408767
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| English | On the Spectral Density of the Wavelet Transform of Fractional Brownian Motion |
scientific article; zbMATH DE number 1408767 |
Statements
On the Spectral Density of the Wavelet Transform of Fractional Brownian Motion (English)
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1 March 2000
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wavelet transforms
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fractional Brownian motion
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existence of spectral density
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0.8552629351615906
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0.8314682245254517
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The authors consider the fractional Brownian motion process \(\{X(t),\;t\in R\}.\) The wavelet transform at scale \(a>0:\) \[ W_a(t)=a^{-1/2}\int_{-\infty}^{+\infty}X(u)\overline{\psi}((u-t)/a)du \] is studied. Conditions for the existence of the spectral density \(f_{W_a}(\lambda)\) and an expression for it are given.
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