waveslim (version 1.12)

mult.loc: Wavelet-based Testing and Locating for Variance Change Points

Description

This is the major subroutine for testing.hov, providing the workhorse algorithm to recursively test and locate multiple variance changes in so-called long memory processes.

Usage

mult.loc(dwt.list, modwt.list, wf, level, min.coef, debug)

Arguments

dwt.list

modwt.list

wf

Name of the wavelet filter to use in the decomposition.

level

Specifies the depth of the decomposition.

min.coef

Minimum number of wavelet coefficients for testing purposes.

debug

Boolean variable: if set to TRUE, actions taken by the algorithm are printed to the screen.

Value

• Matrix.

Details

For details see Section 9.6 of Percival and Walden (2000) or Section 7.3 in Gencay, Selcuk and Whitcher (2001).

References

Gencay, R., F. Selcuk and B. Whitcher (2001) An Introduction to Wavelets and Other Filtering Methods in Finance and Economics, Academic Press. Percival, D. B. and A. T. Walden (2000) Wavelet Methods for Time Series Analysis, Cambridge University Press.

See Also

rotcumvar, testing.hov.