局部自相似过程的小波估计(英文)  

Wavelet estimation for locally self-similar processes

作　　者：陆智萍[1] 陶勤英[2] 

机构地区：[1]华东师范大学国际金融与风险管理研究中心,上海200241 [2]华东师范大学数学系,上海200241

出　　处：《华东师范大学学报（自然科学版）》2012年第5期76-84,共9页Journal of East China Normal University(Natural Science)

基　　金：国家自然科学基金(11101158);中央高校基本科研业务费专项资金

摘　　要：首先,针对时变自相似参数提出了一种基于最大重叠离散小波变换的估计方法:对此进行了蒙特卡洛模拟研究,发现提高了估计的精度;最后,将研究结果应用于海洋垂直切变序列.A new estimation method was proposed based on the maximal overlap discrete wavelet transform, which provided a good alternative for the estimation of the time-varying self-similarity parameters. It also included a simulation-based study using Monte Carlo method, which increases the accuracy of the on the vertical ocean shear measurements. estimation. Finally, an application was made

关 键 词：局部自相似过程 长记忆 蒙特卡洛模拟 最小二乘法回归 小波变换 

分 类 号：O211[理学—概率论与数理统计]