Cart (Loading....) | Create Account
Close category search window

On estimating the spectral exponent of fractional Brownian motion

Sign In

Cookies must be enabled to login.After enabling cookies , please use refresh or reload or ctrl+f5 on the browser for the login options.

Formats Non-Member Member
$31 $13
Learn how you can qualify for the best price for this item!
Become an IEEE Member or Subscribe to
IEEE Xplore for exclusive pricing!
close button

puzzle piece

IEEE membership options for an individual and IEEE Xplore subscriptions for an organization offer the most affordable access to essential journal articles, conference papers, standards, eBooks, and eLearning courses.

Learn more about:

IEEE membership

IEEE Xplore subscriptions

2 Author(s)
Jenn-Sen Leu ; Dept. of Electr. Eng., Maryland Univ., College Park, MD, USA ; Papamarcou, A.

Three estimators of the exponent α in the power spectral density g(λ)=cg|λ| of fractional Brownian motion are evaluated. These are (i) the periodogram-based estimator αˆPG (ii) the maximum likelihood estimator αˆML; and (iii) the Allan (1966) variance-based estimator αˆAV. Large-sample properties of the mean-square error (MSE) and the associated sampling distribution are examined, αˆPG emphasis on the case α∈(1, 2). The MSE performance of αˆPG is judged to be inferior to that of both αˆML and αˆAV. The rate of decrease of MSE is the same for αˆML and αˆAV; the former estimator has smaller MSE, while the latter is less sensitive to departures from the power-law model and is considerably easier to compute

Published in:

Information Theory, IEEE Transactions on  (Volume:41 ,  Issue: 1 )

Date of Publication:

Jan 1995

Need Help?

IEEE Advancing Technology for Humanity About IEEE Xplore | Contact | Help | Terms of Use | Nondiscrimination Policy | Site Map | Privacy & Opting Out of Cookies

A not-for-profit organization, IEEE is the world's largest professional association for the advancement of technology.
© Copyright 2014 IEEE - All rights reserved. Use of this web site signifies your agreement to the terms and conditions.