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Analysis of moments based methods for fractional Gaussian noise estimation
Karlstad University, Faculty of Technology and Science, Department of Physics and Electrical Engineering.
2012 (English)In: IEEE Transactions on Signal Processing, ISSN 1053-587X, E-ISSN 1941-0476, Vol. 60, no 7, 3823-3827 p.Article in journal (Refereed) Published
Abstract [en]

Fractional Gaussian noise, given as the increment of fractional Brownian motion, is a stationary Gaussian process characterized by the Hurst parameter. In the paper, moments based estimators of the Hurst parameter are presented and analyzed with respect to asymptotic variance

Place, publisher, year, edition, pages
Piscataway, NJ, 2012. Vol. 60, no 7, 3823-3827 p.
Keyword [en]
Asymptotic variance, covariance function, fractional Gaussian noise, parameter estimation
National Category
Engineering and Technology
Research subject
Mathematics; Statistics
Identifiers
URN: urn:nbn:se:kau:diva-16067DOI: 10.1109/TSP.2012.2191545ISI: 000305578800038OAI: oai:DiVA.org:kau-16067DiVA: diva2:573728
Available from: 2012-12-03 Created: 2012-12-03 Last updated: 2012-12-06Bibliographically approved

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