gen.input {hdbinseg}R Documentation

Generating Haar wavelet transformation of time series

Description

Generate Haar wavelet transformation of time series containing information about possible change-points in the second-order structure of time series

Usage

gen.input(x, scales, sq, diag, sgn = NULL)

Arguments

x

input data matrix, with each row representing the component time series

scales

negative integers for wavelet scales, with a small negative integer representing a fine scale

sq

if sq = TRUE, squared root of wavelet periodograms are used for change-point analysis

diag

if diag = TRUE, only changes in the diagonal elements of the autocovariance matrices are searched for

sgn

if diag = FALSE, wavelet transformations of the cross-covariances are computed with the matching signs

Value

matrix of the square root of scaled Haar wavelet periodograms of x


[Package hdbinseg version 1.0.2 Index]