scaling_filter: wavelet scaling filter coefficients

In multiwave: Estimation of Multivariate Long-Memory Models Parameters

Description

Computes the filter coefficients of the Haar or Daubechies wavelet family with a specific order

Usage

scaling_filter(family, parameter)

Arguments

family	Wavelet family, 'Haar' or 'Daubechies'
parameter	Order of the Daubechies wavelet (equal to twice the number of vanishing moments). The value of parameter can be 2,4,8,10,12,14 and 16.

Value

h	Vector of scaling filter coefficients.
M	Number of vanishing moments.
alpha	Fourier decay exponent.

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

DWTexact

Examples

res_filter <- scaling_filter('Daubechies',8);
filter <- res_filter$h
M <- res_filter$M
alpha <- res_filter$alpha

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