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simts

compute_cov_cpp

Computes the (MODWT) wavelet covariance matrix

Description

Calculates the (MODWT) wavelet covariance matrix

Usage

compute_cov_cpp(signal_modwt, nb_level, compute_v = "diag",
  robust = TRUE, eff = 0.6)

Arguments

signal_modwt

A field<vec> that contains the modwt decomposition.
nb_level

A integer that contains the level of decomposition J.
compute_v

A string that indicates what kind of matrix should be created. Possible options: "diag" or "none"
robust

A boolean that triggers the use of the robust estimate.
eff

A double that indicates the efficiency as it relates to an MLE.

Value

A field<mat> containing the covariance matrix.

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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