ci_wave_variance: Generate a Confidence intervval for a Univariate Time Series

In simts: Time Series Analysis Tools

Generate a Confidence intervval for a Univariate Time Series

Description

Computes an estimate of the multiscale variance and a chi-squared confidence interval

Usage

ci_wave_variance(
  signal_modwt_bw,
  wv,
  type = "eta3",
  alpha_ov_2 = 0.025,
  robust = FALSE,
  eff = 0.6
)

Arguments

signal_modwt_bw	A field<vec> that contains the brick walled modwt or dwt decomposition
wv	A vec that contains the wave variance.
type	A String indicating the confidence interval being calculated.
alpha_ov_2	A double that indicates the \left(1-p\right)*\alpha confidence level.
robust	A boolean to determine the type of wave estimation.
eff	A double that indicates the efficiency.

Details

This function can be expanded to allow for other confidence interval calculations.

Value

A matrix with the structure:

• Column 1Wavelet Variance

• Column 2Chi-squared Lower Bounds

• Column 3Chi-squared Upper Bounds

simts documentation built on Aug. 31, 2023, 5:07 p.m.