Description Usage Arguments Details Value Process Haar Wavelet Variance Formula Haar Wavelet Derivation Information See Also Examples
This function computes the WV (haar) of a Moving Average order 1 (MA1) process.
1 | ma1_to_wv(theta, sigma2, tau)
|
theta |
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 MA(1) process.
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
For more information, please see: Supported Haar Wavelet Formulae (Internet Connection Required).
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