Wavelets, generalized white noise and fractional integration: The synthesis of fractional Brownian motion

We provide an almost sure convergent expansion of fractional Brownian motion in wavelets which decorrelates the high frequencies. Our approach generalizes Levy's midpoint displacement technique which is used to generate Brownian motion. The low-frequency terms in the expansion involve all independent fractional Brownian motion evaluated at discrete times or, alternatively, partial sums of a stationary fractional ARIMA time series. The wavelets fill in the gaps and provide the necessary high frequency corrections We also obtain a way of constructing an arbitrary number of non-Gaussian continuous time processes whose second order properties are the same as those of fractional Brownian motion.