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fast_cov_cpp

Computes the (MODWT) wavelet covariance matrix using Chi-square confidence interval bounds

Description

Calculates the (MODWT) wavelet covariance matrix using Chi-square confidence interval bounds

Usage

fast_cov_cpp(ci_hi, ci_lo)

Arguments

ci_hi

A vec that contains the upper confidence interval points.
ci_lo

A vec that contains the lower confidence interval points.

Value

A diagonal 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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