Simultaneous estimation of deterministic and fractal stochastic components in non-stationary time series

DOI10.1016/j.physd.2018.04.002zbMath1391.62168OpenAlexW2802979819WikidataQ129926116 ScholiaQ129926116MaRDI QIDQ725238

Abraham Otero, Constantino A. García, David G. Márquez, Paulo Félix, Jesús M. Presedo

Publication date: 1 August 2018

Published in: Physica D (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physd.2018.04.002

zbMATH Keywords

fractional Brownian motionwavelet transformBayesian estimation\(1/f\) noise

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Uses Software

• wavethresh
• BayesDA
• longmemo
• RHRV

Cites Work

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• Extracting fractal components from time series
• Fractals in biology and medicine
• Parameter-free resolution of the superposition of stochastic signals
• Adapting to Unknown Smoothness via Wavelet Shrinkage
• Nonlinear Wavelet Shrinkage with Bayes Rules and Bayes Factors
• Correlation structure of the discrete wavelet coefficients of fractional Brownian motion
• Wavelet analysis and synthesis of fractional Brownian motion
• Wavelet Thresholding via A Bayesian Approach
• Ideal spatial adaptation by wavelet shrinkage
• Adaptive Bayesian Wavelet Shrinkage
• STATISTICAL PROPERTIES OF THE INTERBEAT INTERVAL CASCADE IN HUMAN HEARTS
• Is the Geometry of Nature Fractal?

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