rw_to_wv: Random Walk to WV

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

Description

This function compute the WV (haar) of a Random Walk process

Usage

rw_to_wv(gamma2, tau)

Arguments

gamma2	A double corresponding to variance of RW
tau	A vec containing the scales e.g. 2^tau

Value

A vec containing the wavelet variance of the random walk.

Process Haar Wavelet Variance Formula

The Random Walk (RW) process has a Haar Wavelet Variance given by:

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

Haar Wavelet Derivation Information

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

Examples

ntau = 8
tau = 2^(1:ntau)
wv.theo = rw_to_wv(.37, tau)

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