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Wavelet Analysis of Fractional Brownian Motion in Multifractal Time

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Title: Wavelet Analysis of Fractional Brownian Motion in Multifractal Time
Author: Goncalves, Paulo; Riedi, Rudolf H.
Type: Conference Paper
Keywords: Temporary
Citation: P. Goncalves and R. H. Riedi,"Wavelet Analysis of Fractional Brownian Motion in Multifractal Time," in Proceedings of the Colloquium GRETSI,
Abstract: We study fractional Brownian motions in multifractal time, a model for multifractal processes proposed recently in the context of economics. Our interest focuses on the statistical properties of the wavelet decomposition of these processes, such as residual correlations (LRD) and stationarity, which are instrumental towards computing the statistics of wavelet-based estimators of the multifractal spectrum.
Date Published: 1999-09-20

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  • ECE Publications [1030 items]
    Publications by Rice University Electrical and Computer Engineering faculty and graduate students
  • DSP Publications [508 items]
    Publications by Rice Faculty and graduate students in digital signal processing.