View source: R/Atau.mat.calc.R
Atau.mat.calc | R Documentation |
Internal function for computing the matrix of lagged autocorrelation wavelet inner products. This is not intended for general use by regular users of the package.
Atau.mat.calc(J, filter.number = 1, family = "DaubExPhase", lag = 1)
J |
The dimension of the matrix required. Should be a positive integer. |
filter.number |
The index of the wavelet used to compute the inner product matrix. |
family |
The family of wavelet used to compute the inner product matrix. |
lag |
The lag of matrix to calculate. A lag of 0 corresponds to the
matrix |
Computes the lagged inner product matrix of the discrete
non-decimated autocorrelation wavelets. This matrix is used in the
calculation to correct the wavelet periodogram of the differenced time
series. With lag
= \tau
, the matrix returned is the matrix A^\tau
in McGonigle et al. (2022).
A J-dimensional square matrix giving the lagged inner product autocorrelation wavelet matrix.
McGonigle, E. T., Killick, R., and Nunes, M. (2022). Modelling time-varying first and second-order structure of time series via wavelets and differencing. Electronic Journal of Statistics, 6(2), 4398-4448.
Nason, G. P., von Sachs, R., and Kroisandt, G. (2000). Wavelet processes and adaptive estimation of the evolutionary wavelet spectrum. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 62(2), 271–292.
TLSW
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.