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

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  • Takeshi Kato
  • Elias Masry

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.

Suggested Citation

  • Takeshi Kato & Elias Masry, 1999. "On the Spectral Density of the Wavelet Transform of Fractional Brownian Motion," Journal of Time Series Analysis, Wiley Blackwell, vol. 20(5), pages 559-563, September.
    • Handle: RePEc:bla:jtsera:v:20:y:1999:i:5:p:559-563
    DOI: 10.1111/1467-9892.00157
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    Cited by:

    1. Jin Lee, 2004. "Wavelet transform for log periodogram regression in long memory stochastic volatility model," Econometric Society 2004 Far Eastern Meetings 682, Econometric Society.
    2. Lee, Jin, 2005. "Estimating memory parameter in the US inflation rate," Economics Letters, Elsevier, vol. 87(2), pages 207-210, May.

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