Title :
Comments on "PCA Based Hurst Exponent Estimator for fBm Signals Under Disturbances
Author :
Van Zanten, Harry
Author_Institution :
Dept. of Math., Eindhoven Univ. of Technol., Eindhoven, Netherlands
Abstract :
In this note we indicate a mistake in the paper mentioned in the title (Li et al. (2009)). It is observed that the cited paper uses an expansion of the fractional Brownian motion which is not the Karhunen-Loève expansion, and hence the asymptotic behaviour of the constants appearing in the expansion is not related to the asymptotic behaviour of the Karhunen-Loève eigenvalues.
Keywords :
Brownian motion; Karhunen-Loeve transforms; principal component analysis; signal processing; Karhunen-Loève eigenvalues; Karhunen-Loève expansion; PCA; asymptotic behaviour; fBm signals; fractional Brownian motion; hurst exponent estimator; Brownian motion; Concrete; Eigenvalues and eigenfunctions; Gaussian processes; Mathematics; Motion estimation;
Journal_Title :
Signal Processing, IEEE Transactions on
DOI :
10.1109/TSP.2010.2048318
