Wavelet transform used in optimal estimation of stochastic process trend
E.L. Kuleshov and V.K. Fishchenko
Vladivostok
Pages: 86-94
Abstract
Relationships between smoothing windows and wavelet transform basis are obtained. A modification of trend estimator with an additional addend compensating for the bias and minimizing the mean square error of the estimator is proposed. It is shown that the bias compensation is a wavelet transform of the process observed. An algorithm for trend estimator calculation is designed.
