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simts

modwt_wvar_cpp

Computes the (MODWT) wavelet variance

Description

Calculates the (MODWT) wavelet variance

Usage

modwt_wvar_cpp(signal, nlevels, robust, eff, alpha, ci_type, strWavelet,
  decomp)

Arguments

signal

A vec that contains the data.
robust

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

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

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

A string indicating the confidence interval being calculated. Valid value: "eta3"
strWavelet

A string indicating the type of wave filter to be applied. Must be "haar"
decomp

A string indicating whether to use "modwt" or "dwt" decomp

Details

This function powers the wvar object. It is also extendable...

Value

A mat with the structure:

  • "variance"Wavelet Variance

  • "low"Lower CI

  • "high"Upper CI

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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