Title :
Correlation structure of the discrete wavelet coefficients of fractional Brownian motion
Author :
Tewfik, Ahmed H. ; Kim, M.
Author_Institution :
Dept. of Electr. Eng., Minnesota Univ., Minneapolis, MN, USA
fDate :
3/1/1992 12:00:00 AM
Abstract :
It is shown that the discrete wavelet coefficients of fractional Brownian motion at different scales are correlated and that their auto- and cross-correlation functions decay hyperbolically fast at a rate much faster than that of the autocorrelation of the fractional Brownian motion itself. The rate of decay of the correlation function in the wavelet domain is primarily determined by the number of vanishing moments of the analyzing wavelet.<>
Keywords :
Brownian motion; correlation theory; stochastic processes; transforms; autocorrelation; cross-correlation functions; decay rate; discrete wavelet coefficients; fractional Brownian motion; Brownian motion; Filters; Image coding; Probability; Signal processing; Signal resolution; Speech processing; Wavelet analysis; Wavelet coefficients; Wavelet domain;
Journal_Title :
Information Theory, IEEE Transactions on
