The wavelet transform of stochastic processes with stationary increments and its application to fractional Brownian motion.
Elias MasryPublished in: IEEE Trans. Inf. Theory (1993)
Keyphrases
- stochastic processes
- fractional brownian motion
- non stationary
- wavelet transform
- random fields
- stochastic process
- multiresolution
- multiscale
- long range dependence
- probability distribution
- long range
- markov random field
- autoregressive
- feature extraction
- maximum entropy
- random variables
- stock price
- brownian motion
- dynamic bayesian networks
- conditional random fields
- financial markets
- parameter estimation
- information extraction
- probabilistic model
- image segmentation