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

wvar_cpp(signal_modwt_bw, robust, eff, alpha, ci_type)

Arguments

signal_modwt_bw	A field<vec> that contains the modwt decomposition after it has been brick walled.
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)*\alpha confidence level
ci_type	A String indicating the confidence interval being calculated. Valid value: "eta3"

Details

This function does the heavy lifting with the signal_modwt_bw

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.