TY - GEN
T1 - A practical comparison of fBm estimators
AU - Jacquet, G.
AU - Harba, R.
AU - Flores, A.
AU - Vilcahuaman, L.
PY - 2010
Y1 - 2010
N2 - Wavelet estimator of the H parameter for fractional Brownian motion (fBm) is the most interesting one from a theoretical point of view. Indeed, Wavelet estimates are asymptotically efficient and has a complexity in only O(N). However, on limited time signals, the efficiency is not proved. In addition, some corrections have to be performed to maintain high performances. As a result, the complexity of the wavelet estimator increases so that other estimators can be thought of. In this paper, we are comparing wavelet estimator to maximum likelihood ones (classical and Whittle type) which both have also interesting theoretical properties. Results show that Whittle ML estimator is the best in terms of performances and complexity.
AB - Wavelet estimator of the H parameter for fractional Brownian motion (fBm) is the most interesting one from a theoretical point of view. Indeed, Wavelet estimates are asymptotically efficient and has a complexity in only O(N). However, on limited time signals, the efficiency is not proved. In addition, some corrections have to be performed to maintain high performances. As a result, the complexity of the wavelet estimator increases so that other estimators can be thought of. In this paper, we are comparing wavelet estimator to maximum likelihood ones (classical and Whittle type) which both have also interesting theoretical properties. Results show that Whittle ML estimator is the best in terms of performances and complexity.
KW - Estimators
KW - Fractal
KW - Maximum Likelihood
KW - Wavelets
UR - http://www.scopus.com/inward/record.url?scp=78651098429&partnerID=8YFLogxK
U2 - 10.1109/ICOSP.2010.5655217
DO - 10.1109/ICOSP.2010.5655217
M3 - Conference contribution
AN - SCOPUS:78651098429
SN - 9781424458981
T3 - International Conference on Signal Processing Proceedings, ICSP
SP - 183
EP - 186
BT - ICSP2010 - 2010 IEEE 10th International Conference on Signal Processing, Proceedings
T2 - 2010 IEEE 10th International Conference on Signal Processing, ICSP2010
Y2 - 24 October 2010 through 28 October 2010
ER -