gmwm (version 2.0.0)

wvar_cpp: Computes the (MODWT) wavelet variance

Description

Calculates the (MODWT) wavelet variance

Usage

wvar_cpp(signal_modwt_bw, robust, eff, alpha, ci_type)

Arguments

signal_modwt_bw

A field that contains the modwt decomposition after it has been brick walled.

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"

Value

A mat with the structure:

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

Details

This function does the heavy lifting with the signal_modwt_bw

Examples

x = rnorm(100)
decomp = modwt_cpp(x, filter_name = "haar", nlevels = 4, boundary = "periodic", brickwall = TRUE)
wvar_cpp(decomp, robust=FALSE, eff=0.6, alpha = 0.05, ci_type="eta3")