gmwm (version 2.0.0)

rw_to_wv: Random Walk to WV

Description

This function compute the WV (haar) of a Random Walk process

Usage

rw_to_wv(sig2, tau)

Arguments

sig2

A double corresponding to variance of RW

tau

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

Value

A vec containing the wavelet variance of the random walk.

Examples

x.sim = cumsum(rnorm(100000))
ntau = floor(log(length(x.sim),2))
tau = 2^(1:ntau)
wv.theo = rw_to_wv(1,tau)
plot(tau, wv.theo, col = "red")