Wavelet analysis of the multivariate fractional Brownian motion
From MaRDI portal
Publication:5408486
Abstract: The work developed in the paper concerns the multivariate fractional Brownian motion (mfBm) viewed through the lens of the wavelet transform. After recalling some basic properties on the mfBm, we calculate the correlation structure of its wavelet transform. We particularly study the asymptotic behavior of the correlation, showing that if the analyzing wavelet has a sufficient number of null first order moments, the decomposition eliminates any possible long-range (inter)dependence. The cross-spectral density is also considered in a second part. Its existence is proved and its evaluation is performed using a von Bahr-Essen like representation of the function . The behavior of the cross-spectral density of the wavelet field at the zero frequency is also developed and confirms the results provided by the asymptotic analysis of the correlation.
Recommendations
- Wavelet analysis and synthesis of fractional Brownian motion
- On wavelet analysis of the nth order fractional Brownian motion
- Statistical study of the wavelet analysis of fractional Brownian motion
- DEFINITION, PROPERTIES AND WAVELET ANALYSIS OF MULTISCALE FRACTIONAL BROWNIAN MOTION
- scientific article; zbMATH DE number 734796
- On fractional Brownian motion and wavelets
- On the correlation structure of the wavelet coefficients of fractional Brownian motion
- Wavelet Packets of Fractional Brownian Motion: Asymptotic Analysis and Spectrum Estimation
- On the Spectral Density of the Wavelet Transform of Fractional Brownian Motion
Cited in
(23)- The moduli of continuity for operator fractional Brownian motion
- Estimation of fractional Brownian motion embedded in a noisy environment using nonorthogonal wavelets
- Wavelet-based estimations of fractional Brownian sheet: least squares versus maximum likelihood
- Fast and Exact Simulation of Complex-Valued Stationary Gaussian Processes Through Embedding Circulant Matrix
- Different possible behaviors of wavelet leaders of the Brownian motion
- Testing of two-dimensional Gaussian processes by sample cross-covariance function
- Wavelet Packet Transform for Fractional Brownian Motion: Asymptotic Decorrelation and Selection of Best Bases
- Multivariate Hadamard self-similarity: testing fractal connectivity
- Hurst estimation for operator scaling random fields
- Wavelet scale analysis of bivariate time series i: motivation and estimation
- On the correlation structure of the wavelet coefficients of fractional Brownian motion
- Multifractional vector Brownian motions, their decompositions, and generalizations
- On fractional Brownian motion and wavelets
- Multivariate wavelet Whittle estimation in long-range dependence
- A Wavelet-Based Almost-Sure Uniform Approximation of Fractional Brownian Motion with a Parallel Algorithm
- scientific article; zbMATH DE number 5371192 (Why is no real title available?)
- Two-step wavelet-based estimation for Gaussian mixed fractional processes
- Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion
- On the Spectral Density of the Wavelet Transform of Fractional Brownian Motion
- scientific article; zbMATH DE number 841851 (Why is no real title available?)
- Tempered fractional Brownian motion: wavelet estimation, modeling and testing
- Wavelet estimation in OFBM: choosing scale parameter in different sampling methods and different parameter values
- A multivariate Weierstrass–Mandelbrot function
This page was built for publication: Wavelet analysis of the multivariate fractional Brownian motion
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5408486)
