gen.input: Generating Haar wavelet transformation of time series

In hdbinseg: Change-Point Analysis of High-Dimensional Time Series via Binary Segmentation

Generating Haar wavelet transformation of time series

Description

Generate Haar wavelet transformation of time series containing information about possible change-points in the second-order structure of time series

Usage

gen.input(x, scales, sq, diag, sgn = NULL)

Arguments

x	input data matrix, with each row representing the component time series
scales	negative integers for wavelet scales, with a small negative integer representing a fine scale
sq	if sq = TRUE, squared root of wavelet periodograms are used for change-point analysis
diag	if diag = TRUE, only changes in the diagonal elements of the autocovariance matrices are searched for
sgn	if diag = FALSE, wavelet transformations of the cross-covariances are computed with the matching signs

Value

matrix of the square root of scaled Haar wavelet periodograms of x

hdbinseg documentation built on Aug. 17, 2023, 5:06 p.m.