Cmat.calc {TrendLSW} | R Documentation |
Cross Autocorrelation Wavelet Inner Product Matrix Calculation
Description
Internal function to compute the cross autocorrelation matrix of inner products. This is not intended for general use by regular users of the package.
Usage
Cmat.calc(
J,
gen.filter.number = 1,
an.filter.number = 1,
gen.family = "DaubExPhase",
an.family = "DaubExPhase"
)
Arguments
J |
The dimension of the matrix required. Should be a positive integer. |
gen.filter.number |
The index of the generating wavelet used to compute the inner product matrix. |
an.filter.number |
The index of the analysing wavelet used to compute the inner product matrix. |
gen.family |
The family of generating wavelet used to compute the inner product matrix. |
an.family |
The family of analysing wavelet used to compute the inner product matrix. |
Details
Computes the cross inner product matrix of the discrete
non-decimated autocorrelation wavelets. This matrix is used to correct the
wavelet periodogram analysed using a different wavelet to the wavelet that
is assumed to generate the time series. The matrix returned is the one
denoted C^{(0,1)}
in McGonigle et al. (2022).
Value
A J-dimensional square matrix giving the cross inner product autocorrelation wavelet matrix.
References
McGonigle, E. T., Killick, R., and Nunes, M. (2022). Trend locally stationary wavelet processes. Journal of Time Series Analysis, 43(6), 895-917.