Skip to content

bug theoretical wavelet variance AR1() #11

@lionelvoirol

Description

@lionelvoirol

Issue 1)⚠️ When computing the theoretical wavelet variance of an AR1() process, one can see that if the phi parameter is smaller than 0 (but still contained in the bounds [-1,1]), the wavelet variance is undefined (NaN) for the odd scales.

Reproduce this problem with the following code:
wv::ar1_to_wv(phi = -.5, sigma2 = 1, tau = 1:20)

Issue 2) ⚠️The theoretical wavelet variance of the AR1 process is not calculated correctly. One can
indeed observe that the theoretical and empirical wavelet variance do not match when the correct parameters are given as input to wv::ar1_to_wv.

Reproduce this problem with the following code:
y = gen_gts(model = AR1(phi = .7, sigma2 = 2), n = 100000)

mywv = wv::wvar(y)

plot(x = mywv$scales, mywv$variance, log = "xy", type ="b", col = "blue4")

wv_theo = wv::ar1_to_wv(phi = .7, sigma2 = 2, tau = 1:15)

lines(y= wv_theo, x = mywv$scales, col= "darkorange", type ="b")

Compare this to the following correct function where the wavelet is computing according to the SMAC Group website

perso_ar1_to_wv = function(phi, sigma2, tau){
  all_tau = 2^tau
  (sigma2*((phi^2-1)*all_tau + 2*phi*(phi^all_tau-4*phi^(all_tau/2)+3)) ) / ((phi-1)^3*(phi+1)*all_tau^2)
  
}

Metadata

Metadata

Assignees

No one assigned

    Labels

    No labels
    No labels

    Type

    No type

    Projects

    No projects

    Milestone

    No milestone

    Relationships

    None yet

    Development

    No branches or pull requests

    Issue actions