dr_to_wv {wv}

Drift to WV

Description

This function compute the WV (haar) of a Drift process

Usage

dr_to_wv(omega, tau)

Arguments

omega

A double corresponding to the slope of the drift

tau

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

Value

A vec containing the wavelet variance of the drift.

Process Haar Wavelet Variance Formula

The Drift (DR) process has a Haar Wavelet Variance given by:

\nu _j^2\left( {{\omega }} \right) = \frac{{\tau _j^2{\omega ^2}}}{{16}}