ma1_to_wv: Moving Average Order 1 (MA(1)) to WV

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

View source: R/RcppExports.R

Description

This function computes the WV (haar) of a Moving Average order 1 (MA1) process.

Usage

1
ma1_to_wv(theta, sigma2, tau)

Arguments

theta

A double corresponding to the moving average term.

sigma2

A double the variance of the process.

tau

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

Details

This function is significantly faster than its generalized counter part arma_to_wv.

Value

A vec containing the wavelet variance of the MA(1) process.

Process Haar Wavelet Variance Formula

The Moving Average Order 1 (MA(1)) process has a Haar Wavelet Variance given by:

nu[j]^2 = ((theta+1)^2 * tau[j] - 6*theta)*sigma2 / tau[j]^2

See Also

arma_to_wv, arma11_to_wv


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

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