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Fast and exact synthesis for 1-D fractional Brownian motion and fractional Gaussian noises.
Emmanuel Perrin
Rachid Harba
Rachid Jennane
Ileana Iribarren
Published in:
IEEE Signal Process. Lett. (2002)
Keyphrases
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fractional brownian motion
long range
stochastic differential equations
non stationary
long range dependence
fractal dimension
financial markets
random fields
maximum likelihood
long term
data mining
image processing
similarity measure
multiresolution
mathematical model
maximum a posteriori estimation