View source: R/wav.trend.est.R
wav.trend.est | R Documentation |
Internal function to compute the linear wavelet thresholding trend estimate for a time series that may be second-order nonstationary. The function calculates the wavelet transform of the time series, sets to zero the non-boundary coefficients, then inverts the transform to obtain the estimate. This function is not intended for general use by regular users of the package.
wav.trend.est(
x,
filter.number = 4,
family = "DaubLeAsymm",
max.scale = floor(log2(length(x)) * 0.7),
transform.type = "nondec",
boundary.handle = FALSE,
T.CI = FALSE,
sig.lvl = 0.05,
lag.max = floor(10 * (log10(length(x)))),
confint.type = "normal",
reps = 199,
spec.est = NULL,
...
)
x |
The time series you want to estimate the trend function of. |
filter.number |
Selects the index of the wavelet used in the estimation procedure. For Daubechies compactly supported wavelets the filter number is the number of vanishing moments. |
family |
Selects the wavelet family to use. Recommended to only use the Daubechies compactly supported wavelets DaubExPhase and DaubLeAsymm. |
max.scale |
Selects the coarsest scale of the wavelet transform to
analyse to. Should be a value from |
transform.type |
The type of wavelet transform used. Can be |
boundary.handle |
Logical variable. If |
T.CI |
Logical variable, only to be used if |
sig.lvl |
Used only if |
lag.max |
Used only if |
confint.type |
Used only if |
reps |
Used only if |
spec.est |
Used only if |
... |
Further arguments to be passed to the |
A list
object containing the following fields:
x |
Input data |
filter.number , family |
Input wavelet parameters |
transform.type , max.scale , boundary.handle , T.CI |
Input parameters |
T |
A vector of length |
lower.CI |
Returned if |
upper.CI |
Returned if |
sig.lvl |
Returned if |
McGonigle, E. T., Killick, R., and Nunes, M. (2022). Trend locally stationary wavelet processes. Journal of Time Series Analysis, 43(6), 895-917.
TLSW
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