compute_cov_cpp: Computes the (MODWT) wavelet covariance matrix
In SMAC-Group/simts: Time Series Analysis Tools

compute_cov_cpp

R Documentation

Computes the (MODWT) wavelet covariance matrix

Calculates the (MODWT) wavelet covariance matrix

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

`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.