A Simple Statistical Analysis of Wavelet-based Multifractal Spectrum Estimation
Date
1998-11-01
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Abstract
The multifractal spectrum characterizes the scaling and singularity structures of signals and proves useful in numerous applications, from network traffic analysis to turbulence. Of great concern is the estimation of the spectrum from a finite data record. In this paper, we derive asymptotic expressions for the bias and variance of a wavelet-based estimator for a fractional Brownian motion (fBm) process. Numerous numerical simulations demonstrate the accuracy and utility of our results.
Description
Conference Paper
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Type
Conference paper
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Temporary
Citation
P. Goncalves, R. H. Riedi and R. G. Baraniuk, "A Simple Statistical Analysis of Wavelet-based Multifractal Spectrum Estimation," vol. 1, 1998.