deriv_rw: Analytic D matrix Random Walk (RW) Process

In simts: Time Series Analysis Tools

Analytic D matrix Random Walk (RW) Process

Description

Obtain the first derivative of the Random Walk (RW) process.

Usage

deriv_rw(tau)

Arguments

tau	A vec containing the scales e.g. 2^{\tau}

Value

A matrix with the first column containing the partial derivative with respect to \gamma^2.

Process Haar WV First Derivative

Taking the derivative with respect to \gamma ^2 yields:

\frac{\partial }{{\partial {\gamma ^2}}}\nu _j^2\left( {{\gamma ^2}} \right) = \frac{{\tau _j^2 + 2}}{{12{\tau _j}}}

Author(s)

James Joseph Balamuta (JJB)

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