ci_eta3_robust: Generate eta3 robust confidence interval

In schoi355/gmwm: Generalized Method of Wavelet Moments

Generate eta3 robust confidence interval

Description

Computes the eta3 robust CI

Usage

ci_eta3_robust(wv_robust, wv_ci_class, alpha_ov_2, eff)

Arguments

wv_robust	A vec that computes the brickwalled modwt dot product of each wavelet coefficient divided by their length.
wv_ci_class	A mat that contains the CI mean, CI Lower, and CI Upper
alpha_ov_2	A double that indicates the (1-p)*alpha confidence level
eff	A double that indicates the efficiency.

Details

Within this function we are scaling the classical

Value

A matrix with the structure:

• Column 1Robust Wavelet Variance

• Column 2Chi-squared Lower Bounds

• Column 3Chi-squared Upper Bounds

Examples

x = rnorm(100)
# Uses the internal MODWT function not associated with an S3 class.
decomp = modwt_cpp(x, filter_name = "haar", nlevels = 4, boundary = "periodic", brickwall = TRUE)
y = wave_variance(decomp, robust = TRUE,  eff = 0.6)
ci_wave_variance(decomp, y, type = "eta3", alpha_ov_2 = 0.025, robust = TRUE, eff = 0.6)

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