The Scale Invariant Wigner Spectrum Estimation of Gaussian Locally Self-Similar Processes

DOI10.1080/03610926.2012.746987zbMath1343.62079arXiv1207.2831OpenAlexW2592671843MaRDI QIDQ2807623

Yasaman Maleki, Saeid Rezakhah

Publication date: 25 May 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1207.2831

zbMATH Keywords

time-frequency analysisoptimal estimationlocally self-similar circularly symmetric Gaussian processesscale invariant Wigner spectrum (SIWS)

Mathematics Subject Classification ID

Gaussian processes (60G15) Inference from stochastic processes and spectral analysis (62M15) Self-similar stochastic processes (60G18)

Related Items (1)

Optimal scale invariant Wigner spectrum estimation of Gaussian locally self-similar processes using Hermite functions

Uses Software

• longmemo

Cites Work

• Locally stationary stochastic processes and Weyl symbols of positive operators
• The random Wigner distribution of Gaussian stochastic processes with covariance in \(S_0(\mathbb R^{2d})\)
• LASS: a tool for the local analysis of self-similarity
• Kernels and Multiple Windows for Estimation of the Wigner-Ville Spectrum of Gaussian Locally Stationary Processes
• Scale invariances and Lamperti transformations for stochastic processes
• Stochastic time-frequency analysis using the analytic signal: why the complementary distribution matters
• Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
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