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On the spectrum of fractional Brownian motions

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1 Author(s)
Flandrin, P. ; Lab. de Traitement de Signal, CNRS, Lyon, France

Fractional Brownian motions (FBMs) provide useful models for a number of physical phenomena whose empirical spectra obey power laws of fractional order. However, due to the nonstationary nature of these processes, the precise meaning of such spectra remains generally unclear. Two complementary approaches are proposed which are intended to clarify this point. The first one, based on a time-frequency analysis, takes into account the nonstationary nature of FBM and puts emphasis on time-averaged measurements; the second one, based on a time-scale analysis, is matched to self-similarity properties of FBM and reveals an underlying stationary structure relative to each time-scaling

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Information Theory, IEEE Transactions on  (Volume:35 ,  Issue: 1 )