Title :
On the correlation structure of the wavelet coefficients of fractional Brownian motion
Author :
Dijkerman, Robert W. ; Mazumdar, Ravi R.
Author_Institution :
Nat. Aerosp. Lab., Amsterdam, Netherlands
fDate :
9/1/1994 12:00:00 AM
Abstract :
Shows that the interdependence of the discrete wavelet coefficients of fractional Brownian motion, defined by normalized correlation, decays exponentially fast across scales and hyperbolically fast along time
Keywords :
Brownian motion; correlation theory; random processes; stochastic processes; wavelet transforms; correlation structure; decay; fractional Brownian motion; normalized correlation; wavelet coefficients; Brownian motion; Decorrelation; Discrete transforms; Discrete wavelet transforms; Multiresolution analysis; Signal processing; Signal resolution; Stochastic processes; Wavelet analysis; Wavelet coefficients;
Journal_Title :
Information Theory, IEEE Transactions on
