This function compute the WV (haar) of a Random Walk process
Usage
rw_to_wv(gamma2, tau)
Arguments
gamma2
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.
Process Haar Wavelet Variance Formula
The Random Walk (RW) process has a Haar Wavelet Variance given by:
$$\nu _j^2\left( {{\gamma ^2}} \right) = \frac{{\left( {\tau _j^2 + 2} \right){\gamma ^2}}}{{12{\tau _j}}} $$