Title :
A fast estimation algorithm on the Hurst parameter of discrete-time fractional Brownian motion
Author :
Chang, Yen-Ching ; Chang, Shyang
Author_Institution :
Dept. of Electr. Eng., Nat. Tsing Hua Univ., Hsinchu, Taiwan
fDate :
3/1/2002 12:00:00 AM
Abstract :
The purpose of this paper is to demonstrate that the discrete-time fractional Gaussian noise (DFGN) is a regular process. Based on this property, a fast algorithm with low computational cost is proposed to estimate the Hurst parameter H, which is an important parameter in fractional Brownian motion (FBM). This algorithm is robust under amplitude shift, invariant to time shift, and unaffected by a scaling factor in power spectral density (PSD). Finally, the computational complexity is also investigated
Keywords :
Brownian motion; Gaussian noise; computational complexity; discrete time systems; parameter estimation; spectral analysis; DFGN; Hurst parameter; amplitude shift; computational complexity; computational cost; discrete-time fractional Brownian motion; discrete-time fractional Gaussian noise; fast estimation algorithm; power spectral density; scaling factor; time shift; Autoregressive processes; Brownian motion; Computational complexity; Computational efficiency; Gaussian noise; Maximum likelihood estimation; Motion estimation; Noise robustness; Parameter estimation; Signal processing algorithms;
Journal_Title :
Signal Processing, IEEE Transactions on
