compute_cov_cpp: Computes the (MODWT) wavelet covariance matrix
In schoi355/gmwm: Generalized Method of Wavelet Moments

compute_cov_cpp

R Documentation

Computes the (MODWT) wavelet covariance matrix

Description

Calculates the (MODWT) wavelet covariance matrix

Usage

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

Arguments

`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.

Value

A field<mat> containing the covariance matrix.

Examples

## Not run: 
x=rnorm(100)
decomp = modwt(x)
V = compute_cov_cpp(decomp$data, decomp$nlevels, compute_v="diag", robust = TRUE, eff=0.6)

## End(Not run)

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