decomp_theoretical_wv: Each Models Process Decomposed to WV

In schoi355/gmwm: Generalized Method of Wavelet Moments

Each Models Process Decomposed to WV

Description

This function computes each process to WV (haar) in a given model.

Usage

decomp_theoretical_wv(theta, desc, objdesc, tau)

Arguments

theta	A vec containing the list of estimated parameters.
desc	A vector<string> containing a list of descriptors.
objdesc	A field<vec> containing a list of object descriptors.
tau	A vec containing the scales e.g. 2^tau

Value

A mat containing the wavelet variance of each process in the model

Haar Wavelet Derivation Information

For more information, please see: Supported Haar Wavelet Formulae (Internet Connection Required).

Examples

model = AR1(.3,2) + DR(.001)
ntau = 8
tau = 2^(1:ntau)
wv.theo = decomp_theoretical_wv(model$theta, model$desc, model$objdesc, tau)

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