littlevar {locits}

Subsidiary helper function for hwtos2

Description

Computes a variance estimate for hwtos2 Merely takes a wavelet periodogram (actually wd class object), and a level argument. Then extracts the wavelet periodogram coefficients at that level and returns twice the mean of their squares.

Usage

littlevar(WP, ll)

Arguments

WP

The wavelet periodogram that you wish to analyze (actually a wd class object, type="station"

ll

A valid level for the periodogram

Value

Twice the mean of the square of the coefficients at the level extracted.

Author(s)

Guy Nason.

References

Nason, G.P. (2013) A test for second-order stationarity and approximate confidence intervals for localized autocovariances for locally stationary time series. J. R. Statist. Soc. B, 75, 879-904. doi:10.1111/rssb.12015

See Also

hwtos2

Examples

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