rw_to_wv: Random Walk to WV
In gmwm: Generalized Method of Wavelet Moments

This function compute the WV (haar) of a Random Walk process

1	rw_to_wv(sig2, tau)

`sig2`	A `double` corresponding to variance of RW
`tau`	A `vec` containing the scales e.g. 2^tau

A vec containing the wavelet variance of the random walk.

x.sim = cumsum(rnorm(100000))
ntau = floor(log(length(x.sim),2))
tau = 2^(1:ntau)
wv.theo = rw_to_wv(1,tau)
plot(tau, wv.theo, col = "red")

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

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