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| Content Provider | IEEE Xplore Digital Library |
|---|---|
| Author | Jacquet, G. Harba, R. Flores, A. Vilcahuaman, L. |
| Copyright Year | 2010 |
| Description | Author affiliation: Pontificia Universidad Católica del Peru, Facultad de Ciencias e Ingenieria, Lima, Peru (Flores, A.; Vilcahuaman, L.) || Télécom Saint-Etienne, Université Jean Monnet, 42023 Saint-Etienne Cedex 2, France (Jacquet, G.) || Institut Prisme, Polytech'Orléans - 12, rue de Blois, BP 6745, 45067 Orléans, France (Harba, R.) |
| Abstract | Wavelet estimator of the H parameter for fractional Brownian motion (fBm) is the most interesting one from a theoretical point of view. Indeed, Wavelet estimates are asymptotically efficient and has a complexity in only O(N). However, on limited time signals, the efficiency is not proved. In addition, some corrections have to be performed to maintain high performances. As a result, the complexity of the wavelet estimator increases so that other estimators can be thought of. In this paper, we are comparing wavelet estimator to maximum likelihood ones (classical and Whittle type) which both have also interesting theoretical properties. Results show that Whittle ML estimator is the best in terms of performances and complexity. |
| Starting Page | 183 |
| Ending Page | 186 |
| File Size | 121280 |
| Page Count | 4 |
| File Format | |
| ISBN | 9781424458974 |
| e-ISBN | 9781424459001 |
| DOI | 10.1109/ICOSP.2010.5655217 |
| Language | English |
| Publisher | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Publisher Date | 2010-10-24 |
| Publisher Place | China |
| Access Restriction | Subscribed |
| Rights Holder | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Subject Keyword | Maximum likelihood estimation Complexity theory Brownian motion Fractals Wavelet analysis Wavelet transforms wavelets Fractal Estimators Maximum Likelihood |
| Content Type | Text |
| Resource Type | Article |
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