Wavelet Synthesis of Fractional Brownian Motion

摘要

Fractional Brownian motion (fBm) offers a convenient modeling for non-stationary stochastic processes with long-term dependencies and 1/f-type spectral behavior over wide ranges of frequencies. The orthonormal wavelt transformation coefficients of fBm are analyzed in the paper, We introduce the wavelet synthesis algorithm of fBm, and try to improve the algorithm on this base. A variety of results from simulations are presented to demonstrate the melioration of the algorithm.