gmwm (version 2.0.0)

wn_to_wv: White Noise to WV

Description

This function compute the WV (haar) of a White Noise process

Usage

wn_to_wv(sig2, tau)

Arguments

sig2

A double corresponding to variance of WN

tau

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

Value

A vec containing the wavelet variance of the white noise.

Examples

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