Comments on "PCA Based Hurst Exponent Estimator for fBm Signals Under Disturbances"

J.H. Zanten, van

doi:10.1109/TSP.2010.2048318

Comments on "PCA Based Hurst Exponent Estimator for fBm Signals Under Disturbances"

J.H. Zanten, van

Statistiek - Stieltjes

Onderzoeksoutput: Bijdrage aan tijdschrift › Tijdschriftartikel › Academic › peer review

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Samenvatting

In this note we indicate a mistake in the paper mentioned in the title (Li et al. (2009)). It is observed that the cited paper uses an expansion of the fractional Brownian motion which is not the Karhunen-Loève expansion, and hence the asymptotic behaviour of the constants appearing in the expansion is not related to the asymptotic behaviour of the Karhunen-Loève eigenvalues.

Originele taal-2	Engels
Pagina's (van-tot)	4466-4467
Tijdschrift	IEEE Transactions on Signal Processing
Volume	58
Nummer van het tijdschrift	8
DOI's	https://doi.org/10.1109/TSP.2010.2048318
Status	Gepubliceerd - 2010

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10.1109/TSP.2010.2048318

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abstract = "In this note we indicate a mistake in the paper mentioned in the title (Li et al. (2009)). It is observed that the cited paper uses an expansion of the fractional Brownian motion which is not the Karhunen-Lo{\`e}ve expansion, and hence the asymptotic behaviour of the constants appearing in the expansion is not related to the asymptotic behaviour of the Karhunen-Lo{\`e}ve eigenvalues.",

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AB - In this note we indicate a mistake in the paper mentioned in the title (Li et al. (2009)). It is observed that the cited paper uses an expansion of the fractional Brownian motion which is not the Karhunen-Loève expansion, and hence the asymptotic behaviour of the constants appearing in the expansion is not related to the asymptotic behaviour of the Karhunen-Loève eigenvalues.

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