Time-Varying Long Memory Parameter Estimation Based on Wavelets

Stationary long memory process has been widely studied in the literature. In this article, we considered the locally stationary long memory process with time-varying memory parameter. A new wavelet-based algorithm was developed using log-linear relationship between the wavelet coefficient variance and the scaling parameter. The consistency and the finite sample behavior of the estimator have also been studied, which provide a good reference for the practitioner and researchers. The new algorithm has also been applied to the YEN/USD exchange rate series, which leads to some interesting results.