modwt_wvar_cpp

Calculates the (MODWT) wavelet variance

internal

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 

modwt_wvar_cpp function

<dl><dt>signal</dt>
<dd>A <code>vec</code> that contains the data.</dd>
<dt>robust</dt>
<dd>A <code>boolean</code> that triggers the use of the robust estimate.</dd>
<dt>eff</dt>
<dd>A <code>double</code> that indicates the efficiency as it relates to an MLE.</dd>
<dt>alpha</dt>
<dd>A <code>double</code> that indicates the \(\left(1-p\right)\times \alpha\) confidence level</dd>
<dt>ci_type</dt>
<dd>A <code>string</code> indicating the confidence interval being calculated. Valid value: "eta3"</dd>
<dt>strWavelet</dt>
<dd>A <code>string</code> indicating the type of wave filter to be applied. Must be "haar"</dd>
<dt>decomp</dt>
<dd>A <code>string</code> indicating whether to use "modwt" or "dwt" decomp</dd></dl>

Arguments

Computes the (MODWT) wavelet variance — modwt_wvar_cpp

<dl>

<dt>signal</dt>
<dd>A <code>vec</code> that contains the data.</dd>


<dt>robust</dt>
<dd>A <code>boolean</code> that triggers the use of the robust estimate.</dd>


<dt>eff</dt>
<dd>A <code>double</code> that indicates the efficiency as it relates to an MLE.</dd>


<dt>alpha</dt>
<dd>A <code>double</code> that indicates the \(\left(1-p\right)\times \alpha\) confidence level</dd>


<dt>ci_type</dt>
<dd>A <code>string</code> indicating the confidence interval being calculated. Valid value: "eta3"</dd>


<dt>strWavelet</dt>
<dd>A <code>string</code> indicating the type of wave filter to be applied. Must be "haar"</dd>


<dt>decomp</dt>
<dd>A <code>string</code> indicating whether to use "modwt" or "dwt" decomp</dd>

</dl>

Computes the (MODWT) wavelet variance

modwt_wvar_cpp: Computes the (MODWT) wavelet variance

Description

Usage

Value

Arguments

Details