Description Usage Arguments Details Value Process Haar Wavelet Variance Formula Haar Wavelet Derivation Information See Also

This function computes the (haar) WV of an ARMA process

1 | ```
arma_to_wv_app(ar, ma, sigma2, tau, alpha = 0.9999)
``` |

`ar` |
A |

`ma` |
A |

`sigma2` |
A |

`tau` |
A |

`alpha` |
A |

This function provides an approximation to the `arma_to_wv`

as computation times
were previously a concern. However, this is no longer the case and, thus, this has been left
in for the curious soul to discover...

A `vec`

containing the wavelet variance of the ARMA process.

The Autoregressive Order *p* and Moving Average Order *q* (ARMA(*p*,*q*)) process has a Haar Wavelet Variance given by:

*(tau[j]*(1-rho(tau[j]/2)) + 2*sum(i*(2*rho(tau[j]/2 - i) + rho(i) - rho(tau[j] - i))))/tau[j]^2 * sigma[x]^2*

where *sigma[X]^2* is given by the variance of the ARMA process.
Furthermore, this assumes that stationarity has been achieved as it directly

For more information, please see: blog post on SMAC group website.

`ARMAtoMA_cpp`

, `ARMAacf_cpp`

, `acf_sum`

and `arma_to_wv`

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.