Title :
Statistical study of the wavelet analysis of fractional Brownian motion
Author :
Bardet, Jean-Marc
Author_Institution :
Lab. de Statistique et Probabilite, Univ. Paul Sabatier, Toulouse, France
fDate :
4/1/2002 12:00:00 AM
Abstract :
We present a statistical study of wavelet coefficients of a fractional Brownian motion. A central limit theorem for empirical variances of exact wavelet coefficients is given. Under conditions on the mother wavelet and the choice of scales, a limit theorem is given for fitted wavelet coefficients computed from a time series. It provides an estimator for the self-similarity parameter of Gaussian time series
Keywords :
Brownian motion; statistical analysis; time series; wavelet transforms; Gaussian time series; central limit theorem; empirical variances; fractional Brownian motion; mother wavelet; self-similarity parameter; statistical study; time series; wavelet analysis; wavelet coefficients; Brownian motion; Computer errors; Computer science; Concrete; Decoding; Error correction codes; Information theory; Mathematics; Polynomials; Wavelet analysis;
Journal_Title :
Information Theory, IEEE Transactions on
