arma11_to_wv {simts} | R Documentation |
ARMA(1,1) to WV
Description
This function computes the WV (haar) of an Autoregressive Order 1 - Moving Average Order 1 (ARMA(1,1)) process.
Usage
arma11_to_wv(phi, theta, sigma2, tau)
Arguments
phi |
A |
theta |
A |
sigma2 |
A |
tau |
A |
Details
This function is significantly faster than its generalized counter part
arma_to_wv
Value
A vec
containing the wavelet variance of the ARMA(1,1) process.
Process Haar Wavelet Variance Formula
The Autoregressive Order and Moving Average Order
(ARMA(
,
)) process has a Haar Wavelet Variance given by:
[Package simts version 0.2.2 Index]