K_eval {multiwave} | R Documentation |
K
Computes the function K
as defined in (Achard and Gannaz 2014).
K_eval(psi_hat,u,d)
psi_hat |
Fourier transform of the wavelet mother at values |
u |
grid for the approximation of the integral |
d |
vector of long-memory parameters. |
K_eval
computes the matrix K
with elements
K(d_l,d_m)=\int u^{(d_l+d_m)} |\code{psi}\_\code{hat}(u)|^2 du
value of function K as a matrix.
S. Achard and I. Gannaz
S. Achard, I. Gannaz (2016)
Multivariate wavelet Whittle estimation in long-range dependence. Journal of Time Series Analysis, Vol 37, N. 4, pages 476-512. http://arxiv.org/abs/1412.0391
.
S. Achard, I Gannaz (2019) Wavelet-Based and Fourier-Based Multivariate Whittle Estimation: multiwave. Journal of Statistical Software, Vol 89, N. 6, pages 1-31.
res_filter <- scaling_filter('Daubechies',8);
filter <- res_filter$h
M <- res_filter$M
alpha <- res_filter$alpha
res_psi <- psi_hat_exact(filter,J=10)
K_eval(res_psi$psih,res_psi$grid,d=c(0.2,0.2))