derivative_first_matrix: Analytic D matrix of Processes

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

Analytic D matrix of Processes

Description

This function computes each process to WV (haar) in a given model.

Usage

derivative_first_matrix(theta, desc, objdesc, tau)

Arguments

theta	A vec containing the list of estimated parameters.
desc	A vector<string> containing a list of descriptors.
objdesc	A field<vec> containing a list of object descriptors.
tau	A vec containing the scales e.g. 2^{\tau}

Details

Function returns the matrix effectively known as "D"

Value

A matrix with the process derivatives going down the column

Author(s)

James Joseph Balamuta (JJB)

Examples

mod = AR1(.4,1) + WN(.2) + DR(.005)
derivative_first_matrix(mod$theta, mod$desc, mod$obj.desc, 2^(1:9))

SMAC-Group/gmwm documentation built on June 10, 2025, 6:10 a.m.