nth-order fractional Brownian motion and fractional Gaussian noises

  • Authors:
  • E. Perrin;R. Harba;C. Berzin-Joseph;I. Iribarren;A. Bonami

  • Affiliations:
  • Lab. of Electron., Signal & Images, Orleans Univ.;-;-;-;-

  • Venue:
  • IEEE Transactions on Signal Processing
  • Year:
  • 2001

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Abstract

A generalization of fractional Brownian motion (fBm) of parameter H in ]0, 1[ is proposed. More precisely, this work leads to nth-order fBm (n-fBm) of H parameter in ]n-1, n[, where n is any strictly positive integer. They include fBm for the special case n=1. Properties of these new processes are investigated. Their covariance function are given, and it is shown that they are self similar. In addition, their spectral shape is assessed as 1/fα with α belonging to ]1; +∞[, providing a larger framework than classical fBm. Special interest is given to their nth-order stationary increments, which extend fractional Gaussian noises. The covariance function and power spectral densities are calculated. The properties and signal processing tasks such as a Cholesky-type synthesis technique and a maximum likelihood estimation method of the H parameter are presented. The results show that the estimator is efficient (unbiased and reaches the Cramer-Rao lower bound) for a large majority of tested values