Estimation using wavelets
Wavelets themselves exhibit self-similarity.
Set of coefficients dX(j, k) are obtained from DWT:
- dX(j, · ) are stationary sequences of uncorrelated processes
- processes dX(j, · ) and dX( j’, · ), j ? j’, are uncorrelated
- process X and, hence, processes dX(j, · ) are Gaussian
dX(j, · ) satisfy: E(dX(j, k)2 ) = 2j(2H+1)E(dX(0, k)2)