On wavelet analysis of the \(n\)th order fractional Brownian motion
DOI10.1007/s10260-012-0187-2zbMath1329.60106OpenAlexW2033715413MaRDI QIDQ1934279
Publication date: 28 January 2013
Published in: Statistical Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10260-012-0187-2
wavelet transformsignal-to-noise ratioscaling exponentweighted least squares estimatorderivative operator\(n\)th order fBm
Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Numerical methods for wavelets (65T60)
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- Moment-wavelet quantization: a first principles analysis of quantum mechanics through continuous wavelet transform theory
- Estimation of Hurst exponent revisited
- Quadratic variations and estimation of the local Hölder index of a Gaussian process
- The dimension of chaotic dynamical system in wavelet space and its application
- Estimation of fractional Brownian motion embedded in a noisy environment using nonorthogonal wavelets
- A theory for multiresolution signal decomposition: the wavelet representation
- Wavelet Estimation of Fractional Brownian Motion Embedded in a Noisy Environment
- Testing for a unit root in time series regression
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- Singularity detection and processing with wavelets
- Correlation structure of the discrete wavelet coefficients of fractional Brownian motion
- Wavelet analysis and synthesis of fractional Brownian motion
- Ten Lectures on Wavelets
- Distribution processes with stationary fractional increments
- Fast and Exact Simulation of Stationary Gaussian Processes through Circulant Embedding of the Covariance Matrix
- A wavelet-based joint estimator of the parameters of long-range dependence
- A new approach for estimation of statistically matched wavelet
- PATH PROPERTIES OF THE LINEAR MULTIFRACTIONAL STABLE MOTION
- Fractional Brownian Motions, Fractional Noises and Applications
- The largest Lyapunov exponent of chaotic dynamical system in scale space and its application
- Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
This page was built for publication: On wavelet analysis of the \(n\)th order fractional Brownian motion
