littlevar: Subsidiary helper function for hwtos2
In locits: Test of Stationarity and Localized Autocovariance

littlevar

R Documentation

Subsidiary helper function for hwtos2

Description

Computes a variance estimate for hwtos2 Merely takes a wavelet periodogram (actually wd class object), and a level argument. Then extracts the wavelet periodogram coefficients at that level and returns twice the mean of their squares.

Usage

littlevar(WP, ll)

Arguments

`WP`	The wavelet periodogram that you wish to analyze (actually a `wd` class object, `type="station"`
`ll`	A valid level for the periodogram

Value

Twice the mean of the square of the coefficients at the level extracted.

Author(s)

Guy Nason.

References

Nason, G.P. (2013) A test for second-order stationarity and approximate confidence intervals for localized autocovariances for locally stationary time series. J. R. Statist. Soc. B, 75, 879-904. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1111/rssb.12015")}