wn_to_wv {wv}

Gaussian White Noise to WV

Description

This function compute the Haar WV of a Gaussian White Noise process

Usage

wn_to_wv(sigma2, tau)

Arguments

sigma2

A double corresponding to variance of WN

tau

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

Value

A vec containing the wavelet variance of the white noise.

Process Haar Wavelet Variance Formula

The Gaussian White Noise (WN) process has a Haar Wavelet Variance given by:

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