Analysis of Moments Based Methods for Fractional Gaussian Noise Estimation

被引：2
作者：
Mossberg, Magnus [1 ]
机构：
[1] Karlstad Univ, Dept Phys & Elect Engn, SE-65188 Karlstad, Sweden
来源：
IEEE TRANSACTIONS ON SIGNAL PROCESSING | 2012年 / 60卷 / 07期
关键词：
Asymptotic variance; covariance function; fractional Gaussian noise; parameter estimation; BROWNIAN-MOTION;
D O I：
10.1109/TSP.2012.2191545
中图分类号：
TM [电工技术]; TN [电子技术、通信技术];
学科分类号：
0808 ; 0809 ;
摘要：
Fractional Gaussian noise, given as the increment of fractional Brownian motion, is a stationary Gaussian process characterized by the Hurst parameter. In the paper, moments based estimators of the Hurst parameter are presented and analyzed with respect to asymptotic variance.
引用
收藏
页码：3823 / 3827
页数：5
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