Gaussian White Noise to WV

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

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