Description Usage Arguments Details Value Process Haar Wavelet Variance Formula Haar Wavelet Derivation Information See Also Examples
This function computes the Haar WV of an AR(1) process
1 | ar1_to_wv(phi, sigma2, tau)
|
phi |
A |
sigma2 |
A |
tau |
A |
This function is significantly faster than its generalized counter part
arma_to_wv
.
A vec
containing the wavelet variance of the AR(1) process.
The Autoregressive Order 1 (AR(1)) process has a Haar Wavelet Variance given by:
(2*sigma2)/((1-phi)^2*(1-phi^2)*tau[j]^2)*(4*phi^(tau[j]/2 + 1) - phi^(tau[j]+1) - .5 * phi^2 * tau[j] + tau[j]/2 - 3*phi)
For more information, please see: Supported Haar Wavelet Formulae (Internet Connection Required).
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