An Estimate of the Fractal Index Using Multiscale Aggregates |
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Authors: | John-Michel Poggi & Marie-Claude Viano |
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Affiliation: | Universitéde Paris Sud and UniversitéParis-V,;Universitéde Paris Sud and Universitédes Sciences et Technologies de Lille |
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Abstract: | We study a family of estimators of the fractal index of a Gaussian process based on the quadratic deviations at different aggregation scales. The estimators are convergent and asymptotically Gaussian when suitably normalized. Confidence intervals are provided. These asymptotic results hold for a large family of stationary-increment models including fractional Brownian motions with square-integrable spectral density. The estimates are applied to the analysis of an electrical signal |
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Keywords: | Confidence interval estimation of fractal index fractional Brownian motion long and intermediate memory self-similarity |
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