modwt_wvar_cpp: Computes the (MODWT) wavelet variance

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

Description

Calculates the (MODWT) wavelet variance

Usage

modwt_wvar_cpp(signal, nlevels, robust, eff, alpha, ci_type, strWavelet,
  decomp)

Arguments

signal	A vec that contains the data.
robust	A boolean that triggers the use of the robust estimate.
eff	A double that indicates the efficiency as it relates to an MLE.
alpha	A double that indicates the (1-p)*alpha confidence level
ci_type	A string indicating the confidence interval being calculated. Valid value: "eta3"
strWavelet	A string indicating the type of wave filter to be applied. Must be "haar"
decomp	A string indicating whether to use "modwt" or "dwt" decomp

Details

This function powers the wvar object. It is also extendable...

Value

A mat with the structure:

• "variance"Wavelet Variance

• "low"Lower CI

• "high"Upper CI

Examples

x=rnorm(100)
modwt_wvar_cpp(x, nlevels=4, robust=FALSE, eff=0.6, alpha = 0.05,
               ci_type="eta3", strWavelet="haar", decomp="modwt")

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