Wavelet eigenvalue regression for n-variate operator fractional Brownian motion.
Patrice AbryGustavo DidierPublished in: J. Multivar. Anal. (2018)
Keyphrases
- fractional brownian motion
- long range
- non stationary
- long range dependence
- fractal dimension
- financial markets
- wavelet transform
- regression model
- denoising
- wavelet coefficients
- random fields
- multiscale
- model selection
- mathematical model
- least squares
- conditional random fields
- data mining
- wavelet packet
- multiresolution
- expert systems