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Rate Optimality of Wavelet Series Approximations of Fractional Brownian Motion

✍ Scribed by Antoine Ayache; Murad S. Taqqu


Publisher
SP Birkhäuser Verlag Boston
Year
2003
Tongue
English
Weight
234 KB
Volume
9
Category
Article
ISSN
1069-5869

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Convergence Properties of Wavelet Series
✍ Elias Masry 📂 Article 📅 1996 🏛 Elsevier Science 🌐 English ⚖ 282 KB

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 depe