The multifractional process is introduced as a natural extension of traditional monofractional process. The selling point of multifractional process is that its Hölder regularity is allowed to vary from point to point, such that makes it a promising model for those stochastic processes whose regularity evolves in time. A new wavelet-based algorithm to synthesize a realization of multifractional process is proposed, and the validity is verified by numerical experiments and real-world data.


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    Title :

    Wavelet-Based Synthesis of a Multifractional Process


    Contributors:


    Publication date :

    2008-05-01


    Size :

    326180 byte




    Type of media :

    Conference paper


    Type of material :

    Electronic Resource


    Language :

    English



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