modwt_wvar_cpp: Computes the (MODWT) wavelet variance

In SMAC-Group/simts: Time Series Analysis Tools

Computes the (MODWT) wavelet variance

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 \left(1-p\right)\times \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

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