dr_to_wv: Drift to WV

Description Usage Arguments Value Process Haar Wavelet Variance Formula

View source: R/RcppExports.R

Description

This function compute the WV (haar) of a Drift process

Usage

1
dr_to_wv(omega, tau)

Arguments

omega

A double corresponding to the slope of the drift

tau

A vec containing the scales e.g. 2^tau

Value

A vec containing the wavelet variance of the drift.

Process Haar Wavelet Variance Formula

The Drift (DR) process has a Haar Wavelet Variance given by:

nu[j]^2 (omega) = (tau[j]^2 * omega^2)/16


wv documentation built on Jan. 17, 2020, 1:07 a.m.

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