Calculates the (MODWT) wavelet covariance matrix
compute_cov_cpp(signal_modwt, nb_level, compute_v = "diag", robust = TRUE,
eff = 0.6)
A field<vec> that contains the modwt decomposition.
A integer that contains the level of decomposition J.
A string that indicates what kind of matrix should be created. Possible options: "diag" or "none"
A boolean that triggers the use of the robust estimate.
A double that indicates the efficiency as it relates to an MLE.
A field<mat> containing the covariance matrix.
## Not run:
decomp = modwt(x)
V = compute_cov_cpp(decomp$data, decomp$nlevels, compute_v="diag", robust = TRUE, eff=0.6)
## End(Not run)
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