dr_to_wv

A <code>double</code> corresponding to the slope of the drift

omega

A <code>vec</code> containing the scales e.g. $2^{\tau}$

This function compute the WV (haar) of a Drift process

A system contains easy-to-use tools as a support for time series analysis courses. In particular, it incorporates a technique called Generalized Method of Wavelet Moments (GMWM) as well as its robust implementation for fast and robust parameter estimation of time series models which is described, for example, in Guerrier et al. (2013) <doi: 10.1080/01621459.2013.799920>. More details can also be found in the paper linked to via the URL below.

St<c3><a9>phane Guerrier

simts

Time Series Analysis Tools

James Balamuta

Roberto Molinari

Justin Lee

Yuming Zhang

Wenchao Yang

Nathanael Claussen

Yunxiang Zhang

Christian Gunning

Romain Francois

Ross Ihaka

R Core Team 

dr_to_wv function

The Drift (DR) process has a Haar Wavelet Variance given by:
$$ \nu _j^2\left( {{\omega }} \right) = \frac{{\tau _j^2{\omega ^2}}}{{16}} $$

Process Haar Wavelet Variance Formula

Drift to WV — dr_to_wv

Drift to WV

dr_to_wv: Drift to WV

Description

Usage

Arguments

Value

Process Haar Wavelet Variance Formula