batch_modwt_wvar_cpp: Computes the MO/DWT wavelet variance for multiple processes

In schoi355/gmwm: Generalized Method of Wavelet Moments

Computes the MO/DWT wavelet variance for multiple processes

Description

Calculates the MO/DWT wavelet variance

Usage

batch_modwt_wvar_cpp(signal, nlevels, robust, eff, alpha, ci_type,
  strWavelet, decomp)

Arguments

signal	A matrix that contains the same number of observations per dataset
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 (1-p)*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 processes the decomposition of multiple signals quickly

Value

A field<mat> with the structure:

• "variance"Wavelet Variance

• "low"Lower CI

• "high"Upper CI

Examples

x = cbind(rnorm(100),rnorm(100))
batch_modwt_wvar_cpp(x, nlevels=4, robust=FALSE, eff=0.6, 
                     alpha = 0.05, ci_type="eta3", strWavelet="haar", 
                     decomp="modwt")

schoi355/gmwm documentation built on April 11, 2022, 1:21 a.m.