Quality of synthesis and analysis methods for fractional Brownian motion

Author

Jennane, Rachid ; Harba, Rachid ; Jacquet, Gérard

Author_Institution

Orleans Univ., France

fYear

1996

Firstpage

307

Lastpage

310

Abstract

The article compares the quality of synthesis and analysis methods for fractional Brownian motion (fBm). Three conditions are necessary and sufficient for a process to be fBm. This allows one to check the correspondence between a given synthesis method and the fBm model. Two synthesis methods among 6 tested give good results. Reference signals obtained by these 2 methods are used to evaluate 8 analysis methods. Three estimators have a low bias and a variance close to the Cramer-Rao lower bound

Keywords

Brownian motion; parameter estimation; signal processing; signal synthesis; Cramer-Rao lower bound; analysis methods; fractional Brownian motion; linear regresion methods; low bias; maximum likelihood estimator; necessary conditions; quality; reference signals; signal analysis; signal estimators; signal processing; signal synthesis; sufficient conditions; synthesis methods; variance; Automatic testing; Brownian motion; Discrete wavelet transforms; Fourier transforms; Parameter estimation; Random processes; Signal analysis; Signal synthesis; Statistical analysis; Sufficient conditions;

fLanguage

English

Publisher

ieee

Conference_Titel

Digital Signal Processing Workshop Proceedings, 1996., IEEE

Conference_Location

Loen

Print_ISBN

0-7803-3629-1

Type

conf

DOI

10.1109/DSPWS.1996.555522

Filename

555522