gmwm (version 2.0.0)

ci_wave_variance: Generate a Confidence intervval for a Univariate Time Series

Description

Computes an estimate of the multiscale variance and a chi-squared confidence interval

Usage

ci_wave_variance(signal_modwt_bw, wv, type = "eta3", alpha_ov_2 = 0.025, robust = FALSE, eff = 0.6)

Arguments

signal_modwt_bw

A field that contains the brick walled modwt or dwt decomposition

wv

A vec that contains the wave variance.

type

A String indicating the confidence interval being calculated.

alpha_ov_2

A double that indicates the $(1-p)*alpha$ confidence level.

robust

A boolean to determine the type of wave estimation.

eff

A double that indicates the efficiency.

Value

A matrix with the structure:

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

Details

This function can be expanded to allow for other confidence interval calculations.

Examples

set.seed(1337)
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)
ci_wave_variance(decomp, y, type = "eta3", alpha_ov_2 = 0.025)