gmwm (version 2.0.0)

dr_to_wv: Drift to WV

Description

This function compute the WV (haar) of a Drift process

Usage

dr_to_wv(omega, tau)

Arguments

omega

A double corresponding to variance of drift

tau

A vec containing the scales e.g. 2^tau

Value

A vec containing the wavelet variance of the drift.

Examples

x.sim = 1:1000
ntau = floor(log(length(x.sim),2))
tau = 2^(1:ntau)
wv.theo = dr_to_wv(1, tau)
plot(tau, wv.theo, col = "red")