A Bayesian approach for the joint estimation of the multifractality parameter and integral scale based on the Whittle approximation

@article{Combrexelle2015ABA,
  title={A Bayesian approach for the joint estimation of the multifractality parameter and integral scale based on the Whittle approximation},
  author={S{\'e}bastien Combrexelle and Herwig Wendt and Patrice Abry and Nicolas Dobigeon and Stephen McLaughlin and Jean-Yves Tourneret},
  journal={2015 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP)},
  year={2015},
  pages={3886-3890}
}
Multifractal analysis is a powerful tool used in signal processing. Multifractal models are essentially characterized by two parameters, the multifractality parameter c2 and the integral scale A (the time scale beyond which multifractal properties vanish). Yet, most applications concentrate on estimating c2 while the estimation of A is in general overlooked, despite the fact that A potentially conveys important information. Joint estimation of c2 and A is challenging due to the statistical… CONTINUE READING

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