gmwm (version 2.0.0)

modwt_wvar_cpp: Computes the (MODWT) wavelet variance

Description

Calculates the (MODWT) wavelet variance

Usage

modwt_wvar_cpp(signal, nlevels, robust, eff, alpha, ci_type, strWavelet, decomp)

Arguments

signal

A vec that contains the data.

robust

A boolean that triggers the use of the robust estimate.

eff

A double that indicates the efficiency as it relates to an MLE.

alpha

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

ci_type

A string indicating the confidence interval being calculated. Valid value: "eta3"

strWavelet

A string indicating the type of wave filter to be applied. Must be "haar"

decomp

A string indicating whether to use "modwt" or "dwt" decomp

Value

A mat with the structure:

• "variance"Wavelet Variance
• "low"Lower CI
• "high"Upper CI

Details

This function powers the wvar object. It is also extendable...

Examples

x=rnorm(100)
modwt_wvar_cpp(x, nlevels=4, robust=FALSE, eff=0.6, alpha = 0.05,
               ci_type="eta3", strWavelet="haar", decomp="modwt")