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A Proof on Asymptotics of Wavelet Variance of a Long Memory Process by Using Taylor Expansion

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.

preprint2012arXivOpen access
Wonsang YouWojciech Kordecki
stat.OT
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Open access2 authors1 topic
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Wonsang YouWojciech Kordecki

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