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ma1_to_wv

Moving Average Order 1 (MA(1)) to WV

Description

This function computes the WV (haar) of a Moving Average order 1 (MA1) process.

Usage

ma1_to_wv(theta, sigma2, tau)

Arguments

theta

A double corresponding to the moving average term.
sigma2

A double the variance of the process.
tau

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

Details

This function is significantly faster than its generalized counter part arma_to_wv.

Value

A vec containing the wavelet variance of the MA(1) process.

Process Haar Wavelet Variance Formula

The Moving Average Order 1 (MA(1)) process has a Haar Wavelet Variance given by:

nu[j]^2 = ((theta+1)^2 * tau[j] - 6*theta)*sigma2 / tau[j]^2

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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