ma1_to_wv: Moving Average Order 1 (MA(1)) to WV

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

Description

This function computes the WV (haar) of a Moving Average order 1 (MA1) process.

Usage

ma1_to_wv(theta, sigma2, tau)

Arguments

theta	A double corresponding to the moving average term.
sigma2	A double the variance of the process.
tau	A vec containing the scales e.g. 2^tau

Details

This function is significantly faster than its generalized counter part arma_to_wv.

Value

A vec containing the wavelet variance of the MA(1) process.

Process Haar Wavelet Variance Formula

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

Haar Wavelet Derivation Information

For more information, please see: Supported Haar Wavelet Formulae (Internet Connection Required).

See Also

arma_to_wv, arma11_to_wv

Examples

ntau = 7
tau = 2^(1:ntau)
wv.theo = ma1_to_wv(.3, 1, tau)

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