gmwm (version 2.0.0)

deriv_dr: Analytic D matrix for drift process

Description

Analytic D matrix for drift process

Usage

deriv_dr(omega, tau)

Arguments

omega

A double that is the slope of the drift.

tau

A vec that contains the scales to be processed (e.g. 2^(1:J))

Value

A matrix with the first column containing the 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: $tau^2 * omega_0$

Examples

deriv_dr(5.3, 2^(1:5))