deriv_dr: Analytic D matrix for drift process
In gmwm: Generalized Method of Wavelet Moments

Analytic D matrix for drift process

1	deriv_dr(omega, tau)

`omega`	A `double` that is the slope of the drift.
`tau`	A `vec` that contains the scales to be processed (e.g. 2^(1:J))

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

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

JJB

1	deriv_dr(5.3, 2^(1:5))

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

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