PCA Based Hurst Exponent Estimator for fBm Signals Under Disturbances

DOI10.1109/TSP.2009.2016877MaRDI QIDQ4569772zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Li Li, Jianming Hu, Yudong Chen, Yi Zhang

Publication date 9 July 2018

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0805.3002

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Abstract: In this response, we try to give a repair to our previous proof for PCA Based Hurst Exponent Estimator for fBm Signals by using orthogonal projection. Moreover, we answer the question raised recently: If a centered Gaussian process $G_t$ admits two series expansions on different Riesz bases, we may possibly study the asymptotic behavior of one eigenvalue sequence from the knowledge on the asymptotic behaviors of another.

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