deriv_rw: Analytic D matrix Random Walk (RW) Process

In SMAC-Group/gmwm: Generalized Method of Wavelet Moments

Description

Obtain the first derivative of the Random Walk (RW) process.

Usage

deriv_rw(tau)

Arguments

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

Value

A matrix with the first column containing the partial derivative with respect to gamma^2.

Process Haar WV First Derivative

Taking the derivative with respect to gamma^2 yields:

d/dgamma2 nu[j]^2 (gamma2) = (tau[j]^2 + 2)/(12*tau[j])

Author(s)

James Joseph Balamuta (JJB)

Examples

deriv_rw(2^(1:5))

SMAC-Group/gmwm documentation built on Sept. 11, 2021, 10:06 a.m.