Paper Info
Title
A new method for fractional Brownian motion interpolation
Abstract
This article presents a new method for interpolating long fractional Brownian motion (fBm) sequences called incremental Fourier interpolation (IFI). Instead of computing the interpolated samples directly, as is the case with existing algorithms, IFI computes the first-order increments between the original and interpolated samples. For long sequences, these increments can be computed using the computationally efficient fast Fourier transform. Estimators for the fBm parameters are also incorporated into the algorithm. Simulations are presented for both known and unknown parameter cases that demonstrate the accuracy of IFI even for relatively short length sequences
Year
DOI
Venue
1999
10.1109/78.796455
IEEE Trans. Signal Processing
Field
DocType
Volume
Mathematical optimization,Interpolation,Stochastic process,Fourier transform,Fast Fourier transform,Estimation theory,Brownian motion,Fractional Brownian motion,Mathematics,Estimator
Journal
47
Issue
ISSN
Citations 
11
1053-587X
2
PageRank 
References 
Authors
0.43
6
2
Name
Order
Citations
PageRank
Zhaojin Han130.79
Thomas S. Denney Jr.2379.17