On the Spectral Density of the Wavelet Transform of Fractional Brownian Motion

Takeshi Kato and Elias Masry

Journal of Time Series Analysis, 1999, vol. 20, issue 5, 559-563

Abstract: We consider the wavelet transform {Wa(t), −∞ 0, of a fractional Brownian motion. A simple and mathematically rigorous proof is given to establish the existence of the spectral density fWa(λ) of the wavelet transform and provide an expression for it.

Date: 1999
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