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dr_to_wv

Drift to WV

Description

This function compute the WV (haar) of a Drift process

Usage

dr_to_wv(omega, tau)

Arguments

omega

A double corresponding to the slope of the drift
tau

A vec containing the scales e.g. 2^tau

Value

A vec containing the wavelet variance of the drift.

Process Haar Wavelet Variance Formula

The Drift (DR) process has a Haar Wavelet Variance given by:

nu[j]^2 (omega) = (tau[j]^2 * omega^2)/16

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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