P.Abry, P.Gon¸calv`es and P.Flandrin, Wavelet-based spectral analysis of 1=f processes. Proc. IEEE--ICASSP'93 (1993) III.237--III.240.  Home/Search   Document Not in Database   Summary   Related Articles

....in general for statistics of LRD processes shows that H is of central importance. It is vital that it be estimated well, and if joint parameter estimation is impossible or impractical, that it be estimated first. The main aim of the paper is to introduce an estimation tool from wavelet analysis [2, 3] which provides a natural, statistically and computationally efficient, estimator of the Hurst parameter H. It is known [10] that simple traditional estimators can be seriously biased. Asymptotically unbiased estimators derived from Gaussian Maximum Likelihood Estimation are available [10] 33] ....

....H Estimator Definition of the estimator. The coefficient jd x (j; k)j 2 measures the amount of energy in the analyzed signal about the time instant 2 j k and frequency 2 Gammaj 0 , where 0 is an arbitrary reference frequency selected by the choice of 0 . It has been suggested [2, 3] that a useful spectral estimator can be designed by performing a time average of the jd x (j; k)j 2 at a given scale, that is Gamma x (2 Gammaj 0 ) 1 n j X k jd x (j; k)j 2 ; 2.5) where n j is the available number of wavelet coefficients at octave j. Essentially n j = 2 ....

[Article contains additional citation context not shown here]

P.Abry, P.Gon¸calv`es and P.Flandrin, Wavelet-based spectral analysis of 1=f processes. Proc. IEEE--ICASSP'93 (1993) III.237--III.240.

Online articles have much greater impact   More about CiteSeer.IST   Add search form to your site   Submit documents   Feedback  

CiteSeer.IST - Copyright Penn State and NEC