A Simple Statistical Analysis of Wavelet-based Multifractal Spectrum Estimation
Author
Goncalves, Paulo; Riedi, Rudolf H.; Baraniuk, Richard G.
Date
2004-01-13Abstract
The multifractal spectrum characterizes the scaling and singularity structures of signals and proves useful in numerous applications, from network traffic analysis to turbulence. Of great concern is the estimation of the spectrum from a finite data record. In this paper, we derive asymptotic expressions for the bias and variance of a wavelet-based estimator for a fractional Brownian motion (fBm) process. Numerous numerical simulations demonstrate the accuracy and utility of our results.
Description
Conference Paper
Citation
Published Version
Keyword
Temporary; Multifractals; Temporary
Type
Conference paper
Citable link to this page
https://hdl.handle.net/1911/19901Metadata
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