gmwm (version 2.0.0)

ci_eta3_robust: 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.

Value

A matrix with the structure:

• Column 1Robust Wavelet Variance
• Column 2Chi-squared Lower Bounds
• Column 3Chi-squared Upper Bounds

Details

Within this function we are scaling the classical

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)