deriv_2nd_dr: Analytic second derivative matrix for drift process
Description
Analytic second derivative matrix for drift process
Usage
deriv_2nd_dr(tau)
Arguments
tau
A vec that contains the scales to be processed (e.g. 2^(1:J))
Value
A matrix with the first column containing the second partial derivative with respect to $omega[0]$.
Details
The haar wavelet variance is given as $nu^2(tau) = tau^2 omega_0^2 / 2$.
Taking the derivative with respect to $omega_0^2$ yields: $tau^2 * omega_0$
Taking second derivative with respect to $omega_0^2$ yields: $tau^2$