Computes the (MODWT) wavelet variance

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Description

Calculates the (MODWT) wavelet variance

Usage

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wvar_cpp(signal_modwt_bw, robust, eff, alpha, ci_type)

Arguments

signal_modwt_bw

A field<vec> that contains the modwt decomposition after it has been brick walled.

robust

A boolean that triggers the use of the robust estimate.

eff

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

alpha

A double that indicates the (1-p)*alpha confidence level

ci_type

A String indicating the confidence interval being calculated. Valid value: "eta3"

Details

This function does the heavy lifting with the signal_modwt_bw

Value

A mat with the structure:

  • "variance"Wavelet Variance

  • "low"Lower CI

  • "high"Upper CI

Examples

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x = rnorm(100)
decomp = modwt_cpp(x, filter_name = "haar", nlevels = 4, boundary = "periodic", brickwall = TRUE)
wvar_cpp(decomp, robust=FALSE, eff=0.6, alpha = 0.05, ci_type="eta3")

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