Whitening filter and innovations representation of self-similar process.

DOI10.1016/S0960-0779(02)00041-3zbMath1041.60040OpenAlexW1978085051MaRDI QIDQ1419035

Xiao-Tian Wang, Wei-Yuan Qiu, Fu-Yao Ren

Publication date: 14 January 2004

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0960-0779(02)00041-3

zbMATH Keywords

fractional Brownian motion

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Self-similar stochastic processes (60G18)

Related Items (1)

Whitening filter and innovational representation of fractional Brownian motion

Cites Work

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• Linear estimation of self-similar processes via Lamperti's transformation
• Large deviations and overflow probabilities for the general single-server queue, with applications
• Fractional Brownian Motions, Fractional Noises and Applications

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