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Start Over Author "Poggi, Jean-Michel" Journal journal of time series analysis
2 results on '"Poggi, Jean-Michel"'

2. An Estimate of the Fractal Index Using Multiscale Aggregates.

Author

Poggi, Jean-Michel and Viano, Marie-Claude

Subjects
*FRACTALS, *INDEXES, *GAUSSIAN processes, *GAUSSIAN quadrature formulas, *WIENER processes
Abstract

We study a family of estimators of the fractal index of a Gaussian process based on the quadratic deviations at different aggregation scales. The estimators are convergent and asymptotically Gaussian when suitably normalized. Confidence intervals are provided. These asymptotic results hold for a large family of stationary-increment models including fractional Brownian motions with square-integrable spectral density. The estimates are applied to the analysis of an electrical signal [ABSTRACT FROM AUTHOR]

Published
1998
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