gmwm (version 2.0.0)

compute_cov_cpp: 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 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 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)