Identification of Nonstandard Multifractional Brownian Motions under White Noise by Multiscale Local Variations of Its Sample Paths
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-10, 10 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-10-31
Country of Publication
Egypt
No. of Pages
10
Main Subjects
Abstract EN
The Hurst exponent and variance are two quantities that often characterize real-life, high-frequency observations.
Such real-life signals are generally measured under noise environments.
We develop a multiscale statistical method for simultaneous estimation of a time-changing Hurst exponent H(t) and a variance parameter C in a multifractional Brownian motion model in the presence of white noise.
The method is based on the asymptotic behavior of the local variation of its sample paths which applies to coarse scales of the sample paths.
This work provides stable and simultaneous estimators of both parameters when independent white noise is present.
We also discuss the accuracy of the simultaneous estimators compared with a few selected methods and the stability of computations with regard to adapted wavelet filters.
American Psychological Association (APA)
Ahn, Kwang-Il& Lee, Kichun. 2013. Identification of Nonstandard Multifractional Brownian Motions under White Noise by Multiscale Local Variations of Its Sample Paths. Mathematical Problems in Engineering،Vol. 2013, no. 2013, pp.1-10.
https://search.emarefa.net/detail/BIM-1010764
Modern Language Association (MLA)
Ahn, Kwang-Il& Lee, Kichun. Identification of Nonstandard Multifractional Brownian Motions under White Noise by Multiscale Local Variations of Its Sample Paths. Mathematical Problems in Engineering No. 2013 (2013), pp.1-10.
https://search.emarefa.net/detail/BIM-1010764
American Medical Association (AMA)
Ahn, Kwang-Il& Lee, Kichun. Identification of Nonstandard Multifractional Brownian Motions under White Noise by Multiscale Local Variations of Its Sample Paths. Mathematical Problems in Engineering. 2013. Vol. 2013, no. 2013, pp.1-10.
https://search.emarefa.net/detail/BIM-1010764
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1010764