Linear estimation of self-similar processes via Lamperti's transformation (Q4519106)
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scientific article; zbMATH DE number 1538494
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Linear estimation of self-similar processes via Lamperti's transformation |
scientific article; zbMATH DE number 1538494 |
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Linear estimation of self-similar processes via Lamperti's transformation (English)
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19 March 2001
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fractional Brownian motion
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linear prediction
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whitening
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innovations
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scale-stationary processes
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Lamperti's transformation
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Wiener-Kolmogorov filter
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