A fast estimation algorithm on the Hurst parameter of discrete-time fractional Brownian motion

Author

Chang, Yen-Ching ; Chang, Shyang

Author_Institution

Dept. of Electr. Eng., Nat. Tsing Hua Univ., Hsinchu, Taiwan

Volume

50

Issue

3

fYear

2002

fDate

3/1/2002 12:00:00 AM

Firstpage

554

Lastpage

559

Abstract

The purpose of this paper is to demonstrate that the discrete-time fractional Gaussian noise (DFGN) is a regular process. Based on this property, a fast algorithm with low computational cost is proposed to estimate the Hurst parameter H, which is an important parameter in fractional Brownian motion (FBM). This algorithm is robust under amplitude shift, invariant to time shift, and unaffected by a scaling factor in power spectral density (PSD). Finally, the computational complexity is also investigated

Keywords

Brownian motion; Gaussian noise; computational complexity; discrete time systems; parameter estimation; spectral analysis; DFGN; Hurst parameter; amplitude shift; computational complexity; computational cost; discrete-time fractional Brownian motion; discrete-time fractional Gaussian noise; fast estimation algorithm; power spectral density; scaling factor; time shift; Autoregressive processes; Brownian motion; Computational complexity; Computational efficiency; Gaussian noise; Maximum likelihood estimation; Motion estimation; Noise robustness; Parameter estimation; Signal processing algorithms;

fLanguage

English

Journal_Title

Signal Processing, IEEE Transactions on

Publisher

ieee

ISSN

1053-587X

Type

jour

DOI

10.1109/78.984735

Filename

984735