DWTexact: Exact discrete wavelet decomposition

In multiwave: Estimation of Multivariate Long-Memory Models Parameters

Description

Computes the discrete wavelet transform of the data using the pyramidal algorithm.

Usage

DWTexact(x, filter)

Arguments

x	vector of raw data
filter	Quadrature mirror filter (also called scaling filter, as returned by the scaling_filter function)

Value

dwt	computable Wavelet coefficients without taking into account the border effect.
indmaxband	vector containing the largest index of each band, i.e. for j > 1 the wavelet coefficients of scale j are \code{dwt}(k) for k in [\code{indmaxband}(j-1)+1,\code{indmaxband}(j)] and for j=1, \code{dwt}(k) for k in [1,\code{indmaxband}(1)].
Jmax	largest available scale index (=length of indmaxband).

Note

This function was rewritten from an original matlab version by Fay et al. (2009)

Author(s)

S. Achard and I. Gannaz

References

G. Fay, E. Moulines, F. Roueff, M. S. Taqqu (2009) Estimators of long-memory: Fourier versus wavelets. Journal of Econometrics, vol. 151, N. 2, pages 159-177.

S. Achard, I. Gannaz (2016) Multivariate wavelet Whittle estimation in long-range dependence. Journal of Time Series Analysis, Vol 37, N. 4, pages 476-512. http://arxiv.org/abs/1412.0391.

S. Achard, I Gannaz (2019) Wavelet-Based and Fourier-Based Multivariate Whittle Estimation: multiwave. Journal of Statistical Software, Vol 89, N. 6, pages 1-31.

See Also

scaling_filter

Examples

res_filter <- scaling_filter('Daubechies',8);
filter <- res_filter$h
u <- rnorm(2^10,0,1)
x <- vfracdiff(u,d=0.2)

	resw <- DWTexact(x,filter)
		xwav <- resw$dwt
		index <- resw$indmaxband
		Jmax <- resw$Jmax

## Wavelet scale 1
ws_1 <- xwav[1:index[1]]
## Wavelet scale 2
ws_2 <- xwav[(index[1]+1):index[2]]
## Wavelet scale 3
ws_3 <- xwav[(index[2]+1):index[3]]
### upto Jmax

multiwave documentation built on May 6, 2019, 9:02 a.m.