rw_to_wv {simts}

Random Walk to WV

Description

This function compute the WV (haar) of a Random Walk process

Usage

rw_to_wv(gamma2, tau)

Arguments

gamma2

A double corresponding to variance of RW

tau

A vec containing the scales e.g. 2^{\tau}

Value

A vec containing the wavelet variance of the random walk.

Process Haar Wavelet Variance Formula

The Random Walk (RW) process has a Haar Wavelet Variance given by:

\nu _j^2\left( {{\gamma ^2}} \right) = \frac{{\left( {\tau _j^2 + 2} \right){\gamma ^2}}}{{12{\tau _j}}}