On the correlation structure of the wavelet coefficients of fractional Brownian motion

  • Authors:

  • R. W. Dijkerman;R. R. Mazumdar

  • Affiliations:

  • Nat. Aerosp. Lab., Amsterdam;-

  • Venue:
  • IEEE Transactions on Information Theory
  • Year:
  • 1994

Quantified Score

Hi-index 754.84

Visualization

Abstract

Shows that the interdependence of the discrete wavelet coefficients of fractional Brownian motion, defined by normalized correlation, decays exponentially fast across scales and hyperbolically fast along time