A Proof on Asymptotics of Wavelet Variance of a Long Memory Process by Using Taylor Expansion
Other Statistics
2012-02-22 v1
Abstract
A long memory process has self-similarity or scale-invariant properties in low frequencies. We prove that the log of the scale-dependent wavelet variance for a long memory process is asymptotically proportional to scales by using the Taylor expansion of wavelet variances.
Keywords
Cite
@article{arxiv.1202.4746,
title = {A Proof on Asymptotics of Wavelet Variance of a Long Memory Process by Using Taylor Expansion},
author = {Wonsang You and Wojciech Kordecki},
journal= {arXiv preprint arXiv:1202.4746},
year = {2012}
}