Wavelet-based estimator for the Hurst parameters of fractional Brownian sheet

DOI10.1016/S0252-9602(16)30126-6MaRDI QIDQ2408870zbMATH OpenOpenAlexFDO

Authors Liang Wu, Yiming Ding

Publication date 20 October 2017

Published in Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1502.00860

zbMATH Keywords

fractional Brownian sheetHurst parameterslong-range dependenceself-similaritywavelet analysis

Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Fractional processes, including fractional Brownian motion (60G22) Point estimation (62F10)

Abstract: It is proposed a class of statistical estimators $hatH=(hat{H}_1,ldots,hat{H}_d)$ for the Hurst parameters $H=(H_1,ldots,H_d)$ of fractional Brownian field via multi-dimensional wavelet analysis and least squares, which are asymptotically normal. These estimators can be used to detect self-similarity and long-range dependence in multi-dimensional signals, which is important in texture classification and improvement of diffusion tensor imaging (DTI) of nuclear magnetic resonance (NMR). Some fractional Brownian sheets will be simulated and the simulated data are used to validate these estimators. We find that when $H_{i}geq1/2$, the estimators are efficient, and when $H_i<1/2$, there are some bias.

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