wvar: Wavelet Variance

In wv: Wavelet Variance

Description

Calculates the (MO)DWT wavelet variance

Usage

wvar(x, ...)

## S3 method for class 'lts'
wvar(
  x,
  decomp = "modwt",
  filter = "haar",
  nlevels = NULL,
  alpha = 0.05,
  robust = FALSE,
  eff = 0.6,
  to.unit = NULL,
  ...
)

## S3 method for class 'gts'
wvar(
  x,
  decomp = "modwt",
  filter = "haar",
  nlevels = NULL,
  alpha = 0.05,
  robust = FALSE,
  eff = 0.6,
  to.unit = NULL,
  ...
)

## S3 method for class 'ts'
wvar(
  x,
  decomp = "modwt",
  filter = "haar",
  nlevels = NULL,
  alpha = 0.05,
  robust = FALSE,
  eff = 0.6,
  to.unit = NULL,
  ...
)

## S3 method for class 'imu'
wvar(
  x,
  decomp = "modwt",
  filter = "haar",
  nlevels = NULL,
  alpha = 0.05,
  robust = FALSE,
  eff = 0.6,
  to.unit = NULL,
  ...
)

## Default S3 method:
wvar(
  x,
  decomp = "modwt",
  filter = "haar",
  nlevels = NULL,
  alpha = 0.05,
  robust = FALSE,
  eff = 0.6,
  freq = 1,
  from.unit = NULL,
  to.unit = NULL,
  ...
)

Arguments

x	A vector with dimensions N x 1.
...	Further arguments passed to or from other methods.
decomp	A string that indicates whether to use a "dwt" or "modwt" decomposition.
filter	A string that specifies which wavelet filter to use.
nlevels	An integer that indicates the level of decomposition. It must be less than or equal to floor(log2(length(x))).
alpha	A double that specifies the significance level which in turn specifies the 1-α confidence level.
robust	A boolean that triggers the use of the robust estimate.
eff	A double that indicates the efficiency as it relates to an MLE.
to.unit	A string indicating the unit to which the data is converted.
freq	A numeric that provides the rate of samples.
from.unit	A string indicating the unit from which the data is converted.

Details

The default value of nlevels will be set to floor(log2(length(x))), unless otherwise specified.

Value

A list with the structure:

• "variance": Wavelet Variance

• "ci_low": Lower CI

• "ci_high": Upper CI

• "robust": Robust active

• "eff": Efficiency level for Robust calculation

• "alpha": p value used for CI

• "unit": String representation of the unit

Author(s)

James Balamuta, Justin Lee and Stephane Guerrier

Examples

set.seed(999)
x = rnorm(100)

# Default
wvar(x)

# Robust
wvar(x, robust = TRUE, eff=0.3)

# Classical
wvar(x, robust = FALSE, eff=0.3)

# 90% Confidence Interval 
wvar(x, alpha = 0.10)

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