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A Note of Wavelet Variance |
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| Authors: | Xunming Du |
| Affiliation: | 1. Department of Mathematics , Great Basin College , Elko, Nevada, USA xunmingd@gwmail.gbcnv.edu |
| Abstract: | This paper proposes a definition of wavelet variance in integral form and explores some properties of the variance. By this definition, a method of parameter estimation for long memory processes is established. An example of the estimation is discussed. |
| Keywords: | Long memory process Time series Wavelet variance |