simts (version 0.1.1)

deriv_rw: Analytic D matrix Random Walk (RW) Process

Description

Obtain the first derivative of the Random Walk (RW) process.

Usage

deriv_rw(tau)

Arguments

tau

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

Value

A matrix with the first column containing the partial derivative with respect to ${\gamma }^2$.

Process Haar WV First Derivative

Taking the derivative with respect to ${\gamma }^2$ yields: $$\frac{\partial }{\partial {\gamma }^2}{\nu }_j^2\left({\gamma }^2\right)=\frac{{\tau }_j^2+2}{12{\tau }_j}$$