Identification of the multiscale fractional Brownian motion with biomechanical applications
| dc.creator | Bardet, Jean-Marc | |
| dc.creator | Bertrand, Pierre | |
| dc.date | 2007-01-30 | |
| dc.date.accessioned | 2026-07-07T08:08:39Z | |
| dc.date.available | 2026-07-07T08:08:39Z | |
| dc.description | In certain applications, for instance biomechanics, turbulence, finance, or Internet traffic, it seems suitable to model the data by a generalization of a fractional Brownian motion for which the Hurst parameter $H$ is depending on the frequency as a piece-wise constant function. These processes are called multiscale fractional Brownian motions. In this contribution, we provide a statistical study of the multiscale fractional Brownian motions. We develop a method based on wavelet analysis. By using this method, we find initially the frequency changes, then we estimate the different parameters and afterwards we test the goodness-of-fit. Lastly, we give the numerical algorithm. Biomechanical data are then studied with these new tools. | |
| dc.identifier | https://arxiv.org/abs/math/0701873 | |
| dc.identifier | http://arxiv.org/abs/math/0701873 | |
| dc.identifier | Journal of Time Series Analysis 28 (01/2007) 1-52 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/131337 | |
| dc.subject | Statistics Theory | |
| dc.title | Identification of the multiscale fractional Brownian motion with biomechanical applications | |
| dc.type | text |