ma1_to_wv

This function computes the WV (haar) of a Moving Average order 1 (MA1) 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

Stéphane Guerrier

James Balamuta

Roberto Molinari

Justin Lee

Lionel Voirol

Yuming Zhang

Wenchao Yang

Nathanael Claussen

Yunxiang Zhang

Christian Gunning

Romain Francois

Ross Ihaka

R Core Team 

ma1_to_wv function

<dl><dt>theta</dt>
<dd>A <code>double</code> corresponding to the moving average term.</dd>
<dt>sigma2</dt>
<dd>A <code>double</code> the variance of the process.</dd>
<dt>tau</dt>
<dd>A <code>vec</code> containing the scales e.g. $2^{\tau}$</dd></dl>

Arguments

The Moving Average Order $1$ (MA($1$)) process has a Haar Wavelet Variance given by:
$$\nu _j^2\left( {\theta ,{\sigma ^2}} \right) = \frac{{\left( {{{\left( {\theta + 1} \right)}^2}{\tau _j} - 6\theta } \right){\sigma ^2}}}{{\tau _j^2}}$$

Process Haar Wavelet Variance Formula

Moving Average Order 1 (MA(1)) to WV — ma1_to_wv

<dl>

<dt>theta</dt>
<dd>A <code>double</code> corresponding to the moving average term.</dd>


<dt>sigma2</dt>
<dd>A <code>double</code> the variance of the process.</dd>


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

</dl>

The Moving Average Order $1$ (MA($1$)) process has a Haar Wavelet Variance given by:
$$\nu _j^2\left( {\theta ,{\sigma ^2}} \right) = \frac{{\left( {{{\left( {\theta + 1} \right)}^2}{\tau _j} - 6\theta } \right){\sigma ^2}}}{{\tau _j^2}}$$

ma1_to_wv: Moving Average Order 1 (MA(1)) to WV

Description

Usage

Value

Arguments

Process Haar Wavelet Variance Formula

Details