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simts

ci_wave_variance

Generate a Confidence intervval for a Univariate Time Series

Description

Computes an estimate of the multiscale variance and a chi-squared confidence interval

Usage

ci_wave_variance(signal_modwt_bw, wv, type = "eta3",
  alpha_ov_2 = 0.025, robust = FALSE, eff = 0.6)

Arguments

signal_modwt_bw

A field<vec> that contains the brick walled modwt or dwt decomposition
wv

A vec that contains the wave variance.
type

A String indicating the confidence interval being calculated.
alpha_ov_2

A double that indicates the (1-p)*alpha confidence level.
robust

A boolean to determine the type of wave estimation.
eff

A double that indicates the efficiency.

Details

This function can be expanded to allow for other confidence interval calculations.

Value

A matrix with the structure:

  • Column 1Wavelet Variance

  • Column 2Chi-squared Lower Bounds

  • Column 3Chi-squared Upper Bounds

simts

Time Series Analysis Tools

v0.1.1
AGPL-3 | file LICENSE
Authors
Stéphane Guerrier [aut, cre, cph], James Balamuta [aut, cph], Roberto Molinari [aut, cph], Justin Lee [aut], Yuming Zhang [aut], Wenchao Yang [ctb], Nathanael Claussen [ctb], Yunxiang Zhang [ctb], Christian Gunning [cph], Romain Francois [cph], Ross Ihaka [cph], R Core Team [cph]
Initial release
2019-07-21

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