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Publication Date
Sat May 01 2021
Journal Name
Journal Of Physics: Conference Series
Volume
1879
DOI
10.1088/1742-6596/1879/3/032033
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Discrete wavelet based estimator for the Hurst parameter of multivariate fractional Brownian motion
Munaf Yousif
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Abstract<p>In this paper, wavelets were used to study the multivariate fractional Brownian motion through the deviations of the random process to find an efficient estimation of Hurst exponent. The results of simulations experiments were shown that the performance of the proposed estimator was efficient. The estimation process was made by taking advantage of the detail coefficients stationarity from the wavelet transform, as the variance of this coefficient showed the power-low behavior. We use two wavelet filters (Haar and db5) to manage minimizing the mean square error of the model.</p>
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