Wavelet analysis and synthesis of fractional Brownian motion

作者：Patrick Flandrin · 发表于：IEEE Transactions on Information Theory · 年份：1992 · DOI：10.1109/18.119751 · 被引用次数：868 · 研究领域：Complex Systems and Time Series Analysis、Image and Signal Denoising Methods、Financial Risk and Volatility Modeling

Fractional Brownian motion (FBM) offers a convenient modeling for nonstationary stochastic processes with long-term dependencies and 1/f-type spectral behavior over wide ranges of frequencies. Statistical self-similarity is an essential feature of FBM and makes natural the use of wavelets for both its analysis and its synthesis. A detailed second-order analysis is carried out for wavelet coefficients of FBM. It reveals a stationary structure at each scale and a power-law behavior of the coefficients' variance from which the fractal dimension of FBM can be estimated. Conditions for using orthonormal wavelet decompositions as approximate whitening filters are discussed, consequences of discretization are considered, and some connections between the wavelet point of view and previous approaches based on length measurements (analysis) or dyadic interpolation (synthesis) are briefly pointed out.>