compute_cov_cpp: Computes the (MODWT) wavelet covariance matrix

In simts: Time Series Analysis Tools

Computes the (MODWT) wavelet covariance matrix

Description

Calculates the (MODWT) wavelet covariance matrix

Usage

compute_cov_cpp(
  signal_modwt,
  nb_level,
  compute_v = "diag",
  robust = TRUE,
  eff = 0.6
)

Arguments

signal_modwt	A field<vec> that contains the modwt decomposition.
nb_level	A integer that contains the level of decomposition J.
compute_v	A string that indicates what kind of matrix should be created. Possible options: "diag" or "none"
robust	A boolean that triggers the use of the robust estimate.
eff	A double that indicates the efficiency as it relates to an MLE.

Value

A field<mat> containing the covariance matrix.

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