Long - Memory Processes , the Allan Variance and Wavelets
نویسندگان
چکیده
Long term memory has frequently been observed in physical time series. Statistical theory for long term memory stochastic processes is radically different from the standard time series analysis, which assumes short term memory. The Allen variance is a particular measure of variability developed for long term memory processes. This variance can be interpreted as a Haar wavelet coefficient variance, suggesting an approach towards assessing the variability of general wavelet classes. The theory is applied to a ‘time’ series of vertical ocean shear measurements for which some drawbacks with the Haar wavelets are observed.
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