Statistical study of the wavelet analysis of fractional Brownian motion
From MaRDI portal
Publication:4674487
DOI10.1109/18.992817zbMath1061.60036OpenAlexW2131735609MaRDI QIDQ4674487
Publication date: 11 May 2005
Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1109/18.992817
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Self-similar stochastic processes (60G18)
Related Items
Estimators of long-memory: Fourier versus wavelets, Tempered fractional Brownian motion: wavelet estimation, modeling and testing, A wavelet analysis of the Rosenblatt process: chaos expansion and estimation of the self-similarity parameter, Wavelet-based analysis of non-Gaussian long-range dependent processes and estimation of the Hurst parameter, Wavelet \(q\)-Fisher information for scaling signal analysis, Multivariate Hadamard self-similarity: testing fractal connectivity, On the Spectral Density of the Wavelet Coefficients of Long-Memory Time Series with Application to the Log-Regression Estimation of the Memory Parameter, DEFINITION, PROPERTIES AND WAVELET ANALYSIS OF MULTISCALE FRACTIONAL BROWNIAN MOTION, CENTRAL LIMIT THEOREM FOR THE LOG-REGRESSION WAVELET ESTIMATION OF THE MEMORY PARAMETER IN THE GAUSSIAN SEMI-PARAMETRIC CONTEXT, Modelling NASDAQ series by sparse multifractional Brownian motion, Distinguishing stationary/nonstationary scaling processes using wavelet Tsallis \(q\)-entropies, A new process for modeling heartbeat signals during exhaustive run with an adaptive estimator of its fractal parameters, Detecting abrupt changes of the long-range dependence or the self-similarity of a Gaussian process, Statistical challenges in microrheology, Estimation of the pointwise Hölder exponent of hidden multifractional Brownian motion using wavelet coefficients, Large scale reduction principle and application to hypothesis testing, MODELLING FOR THE WAVELET COEFFICIENTS OF ARFIMA PROCESSES, Identification of the multiscale fractional Brownian motion with biomechanical applications, The tenth Vilnius conference on probability theory and mathematical statistics. II, Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion, Wavelet-based estimations of fractional Brownian sheet: least squares versus maximum likelihood, Two-step wavelet-based estimation for Gaussian mixed fractional processes, Wavelet analysis for the solution to the wave equation with fractional noise in time and white noise in space, Multifractional Vector Brownian Motions, Their Decompositions, and Generalizations
