compute_cov_cpp {simts} | R Documentation |
Computes the (MODWT) wavelet covariance matrix
Description
Calculates the (MODWT) wavelet covariance matrix
Usage
compute_cov_cpp(
signal_modwt,
nb_level,
compute_v = "diag",
robust = TRUE,
eff = 0.6
)
Arguments
signal_modwt |
A field<vec> that contains the modwt decomposition.
|
nb_level |
A integer that contains the level of decomposition J.
|
compute_v |
A string that indicates what kind of matrix should be created. Possible options: "diag" or "none"
|
robust |
A boolean that triggers the use of the robust estimate.
|
eff |
A double that indicates the efficiency as it relates to an MLE.
|
Value
A field<mat>
containing the covariance matrix.
[Package
simts version 0.2.2
Index]