Computes the local autocovariance from the Haar periodogram or the Haar spectrum of a series.
Takes:
sp | The Haar spectrum or the Haar periodogram of a process. Use hper to obtain the periodogram and smper.tilw or smper.spl to smooth it. Use hspec to obtain the spectrum. |
spec | Must be set to T if a spectrum is supplied, and F if a periodogram is supplied. |
Returns:
lvar | The local variance computed from sp . |