ON THE CORRELATION STRUCTURE OF THE WAVELET COEFFICIENTS OF FRACTIONAL BROWNIAN-MOTION

被引：42

作者：

DIJKERMAN, RW ^{[1
]}

MAZUMDAR, RR ^{[1
]}

机构：

[1] UNIV QUEBEC,INRS TELECOMMUN,INST NATL RECH SCI,ILE DES SOEURS H3E 1H6,PQ,CANADA

来源：

IEEE TRANSACTIONS ON INFORMATION THEORY | 1994年 / 40卷 / 05期

基金：

美国国家科学基金会;

关键词：

WAVELET TRANSFORM; FRACTIONAL BROWNIAN MOTION; STOCHASTIC PROCESSES;

D O I：

10.1109/18.333875

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

In this correspondence, we show that the interdependence of the discrete wavelet coefficients of fractional Brownian motion, defined by the normalized correlation, decays exponentially fast across scales and hyperbolically fast along time.

引用

页码：1609 / 1612

页数：4

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