deriv_2nd_dr: Analytic second derivative matrix for drift process

In gmwm: Generalized Method of Wavelet Moments

Description

Analytic second derivative matrix for drift process

Usage

deriv_2nd_dr(tau)

Arguments

tau	A vec that contains the scales to be processed (e.g. 2^(1:J))

Details

The haar wavelet variance is given as nu^2(tau) = tau^2 omega_0^2 / 2. Taking the derivative with respect to omega_0^2 yields: tau^2 * omega_0 Taking second derivative with respect to omega_0^2 yields: tau^2

Value

A matrix with the first column containing the second partial derivative with respect to omega[0].

Author(s)

JJB

Examples

deriv_2nd_dr(2^(1:5))

gmwm documentation built on April 14, 2017, 4:38 p.m.