Maximum Overlap Discrete Wavelet Transform

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Description

Calculation of the coefficients for the discrete wavelet transformation

Usage

1
modwt_cpp(x, filter_name, nlevels, boundary, brickwall)

Arguments

x

A vector with dimensions N x 1.

filter_name

A string indicating the filter.

nlevels

An integer, J, indicating the level of the decomposition.

boundary

A string indicating the type of boundary method to use. Either boundary="periodic" or "reflection".

brickwall

A bool indicating whether the a brick wall procedure should be applied to the coefficients.

Details

Performs a level J decomposition of the time series using the pyramid algorithm. Use this implementation to supply custom parameters instead of modwt(x), which serves as a wrapper function.

Value

y A field<vec> that contains the wavelet coefficients for each decomposition level

Author(s)

JJB

Examples

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set.seed(999)
x = rnorm(100)
modwt_cpp(x, filter_name = "haar", nlevels = 4, boundary = "periodic", brickwall = TRUE)

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