Computes the (MODWT) wavelet covariance matrix

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Description

Calculates the (MODWT) wavelet covariance matrix

Usage

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compute_cov_cpp(signal_modwt, nb_level, compute_v = "diag", robust = TRUE,
  eff = 0.6)

Arguments

signal_modwt

A field<vec> that contains the modwt decomposition.

nb_level

A integer that contains the level of decomposition J.

compute_v

A string that indicates what kind of matrix should be created. Possible options: "diag" or "none"

robust

A boolean that triggers the use of the robust estimate.

eff

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

Value

A field<mat> containing the covariance matrix.

Examples

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## Not run: 
x=rnorm(100)
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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