✦ LIBER ✦
Convergence Properties of Wavelet Series Expansions of Fractional Brownian Motion
✍ Scribed by Elias Masry
- Publisher
- Elsevier Science
- Year
- 1996
- Tongue
- English
- Weight
- 282 KB
- Volume
- 3
- Category
- Article
- ISSN
- 1063-5203
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✦ Synopsis
We consider the approximation of a fractional Brownian motion by a wavelet series expansion at resolution 2 -l . The approximation error is measured in the integrated mean squared sense over finite intervals and we obtain its expansion as a sum of terms with increasing rates of convergence. The dependence of the coefficients in the expansion of the error on the scale function is explicitly determined.