Title :
Analysis of Moments Based Methods for Fractional Gaussian Noise Estimation
Author :
Mossberg, Magnus
Author_Institution :
Dept. of Phys. & Electr. Eng., Karlstad Univ., Karlstad, Sweden
fDate :
7/1/2012 12:00:00 AM
Abstract :
Fractional Gaussian noise, given as the increment of fractional Brownian motion, is a stationary Gaussian process characterized by the Hurst parameter. In the paper, moments based estimators of the Hurst parameter are presented and analyzed with respect to asymptotic variance.
Keywords :
Brownian motion; Gaussian noise; covariance analysis; estimation theory; parameter estimation; signal processing; Hurst parameter; asymptotic variance; fractional Brownian motion; fractional Gaussian noise estimation; moments-based estimators; moments-based methods; stationary Gaussian process; Estimation; Gaussian noise; Gaussian processes; Materials; Minimization; Moment methods; Vectors; Asymptotic variance; covariance function; fractional Gaussian noise; parameter estimation;
Journal_Title :
Signal Processing, IEEE Transactions on
DOI :
10.1109/TSP.2012.2191545
