simts (version 0.1.1)

deriv_rw: Analytic D matrix Random Walk (RW) Process

Description

Obtain the first derivative of the Random Walk (RW) process.

Usage

deriv_rw(tau)

Arguments

tau

A vec containing the scales e.g. \(2^{\tau}\)

Value

A matrix with the first column containing the partial derivative with respect to \(\gamma^2\).

Process Haar WV First Derivative

Taking the derivative with respect to \(\gamma ^2\) yields: $$ \frac{\partial }{{\partial {\gamma ^2}}}\nu _j^2\left( {{\gamma ^2}} \right) = \frac{{\tau _j^2 + 2}}{{12{\tau _j}}} $$