On estimating the spectral exponent of fractional Brownian motion

DOI10.1109/18.370105zbMath0826.60034OpenAlexW2099539380MaRDI QIDQ4840886

Jenn-Sen Leu, Adrianos Papamarcou

Publication date: 17 September 1995

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/18.370105

zbMATH Keywords

maximum likelihood estimationfractional Brownian motionperiodogramlinear regressionflicker noise

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Brownian motion (60J65) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (1)

On optimal scale upper bound in wavelet-based estimation for hurst index of fractional Brownian motion

This page was built for publication: On estimating the spectral exponent of fractional Brownian motion