A Proof on Asymptotics of Wavelet Variance of a Long Memory Process by Using Taylor Expansion
Wonsang You, Wojciech Kordecki · arXiv (Cornell University) · 2012
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.