On the spectrum of fractional Brownian motions

  title={On the spectrum of fractional Brownian motions},
  author={Patrick Flandrin},
  journal={IEEE Trans. Information Theory},
Fractional Brownian motions (FBM’s) provide useful models for a number of physical phenomena whose empirical spectra obey power laws of fractional order. However, due to the nonstationarity of these processes, the precise meaning of such spectra remains generally unclear. Two complementary approaches are proposed which are intended to clarify this point. The first one, based on a time-frequency analysis, takes into account the nonstationary nature of FBM and puts emphasis on time-averaged… CONTINUE READING
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