compute_cov_cpp: Computes the (MODWT) wavelet covariance matrix

View source: R/RcppExports.R

compute_cov_cppR Documentation

Computes the (MODWT) wavelet covariance matrix

Description

Calculates the (MODWT) wavelet covariance matrix

Usage

compute_cov_cpp(
  signal_modwt,
  nb_level,
  compute_v = "diag",
  robust = TRUE,
  eff = 0.6
)

Arguments

signal_modwt

A field<vec> that contains the modwt decomposition.

nb_level

A integer that contains the level of decomposition J.

compute_v

A string that indicates what kind of matrix should be created. Possible options: "diag" or "none"

robust

A boolean that triggers the use of the robust estimate.

eff

A double that indicates the efficiency as it relates to an MLE.

Value

A field<mat> containing the covariance matrix.


SMAC-Group/simts documentation built on Sept. 4, 2023, 5:25 a.m.