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Wavelet Analysis of Fractional Brownian Motion in Multifractal Time

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dc.contributor.author Goncalves, Paulo
Riedi, Rudolf H.
dc.creator Goncalves, Paulo
Riedi, Rudolf H.
dc.date.accessioned 2007-10-31T00:44:48Z
dc.date.available 2007-10-31T00:44:48Z
dc.date.issued 1999-09-20
dc.date.submitted 1999-09-20
dc.identifier.uri http://hdl.handle.net/1911/19902
dc.description Conference Paper
dc.description.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.
dc.language.iso eng
dc.subject Temporary
dc.subject.other Multifractals
dc.title Wavelet Analysis of Fractional Brownian Motion in Multifractal Time
dc.type Conference paper
dc.date.note 2004-01-13
dc.citation.bibtexName inproceedings
dc.date.modified 2004-01-22
dc.contributor.org Digital Signal Processing (http://dsp.rice.edu/)
dc.subject.keyword Temporary
dc.citation.conferenceName Proceedings of the Colloquium GRETSI
dc.type.dcmi Text
dc.identifier.citation P. Goncalves and R. H. Riedi, "Wavelet Analysis of Fractional Brownian Motion in Multifractal Time," 1999.

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  • ECE Publications [1048 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.