Confidence intervals for the unbiased and blocked averaged discrete wavelet variance estimates.

USAGE:

wavConfidenceLimits( variance, edof )

DESCRIPTION:

Given var{tau(j)} are the time independent unbiased wavelet variance estimates at scales tau(j) where j are the decomposition levels, the approximate 100(1-2p)% confidence interval is given by [ n * var{tau(j)} / Q(1-p), n * var{tau(j)} / Q(p) ] where Q(p) is the p x 100 percentage point for a chi-squared distribution with n degrees of freedom.

REQUIRED ARGUMENTS:

variance
A vector containing the block-averaged unbiased wavelet variance estimates.
edof
A vector containing the equivalent degrees of freedom estimates. See wavEDOF for details.

OPTIONAL ARGUMENTS:

probability
The probability desired for the confidence intervals. Supported probabilities are 0.005, .025, .05, .95, .975, and .995. Default: 0.95.

VALUE:

result
A matrix of size 2 x J. The rows of the matrix contain (in order) the low and high confidence interval limits for levels 1,..., J.

REFERENCES:

(1) D. B. Percival and A. T. Walden, ``Wavelet Methods for Time Series Analysis'', Cambridge University Press, 2000.

SEE ALSO:

, .

EXAMPLES:

    ## first calculate the EDOF for the ocean series
    edof <- wavEDOF( ocean )

    ## calculate the 95% confidence
    ## intervals for EDOF mode 1
    wavConfidenceLimits( edof$variance.unbiased, edof$EDOF1 )