modwt_cpp: Maximum Overlap Discrete Wavelet Transform

In simts: Time Series Analysis Tools

Maximum Overlap Discrete Wavelet Transform

Description

Calculation of the coefficients for the discrete wavelet transformation

Usage

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

Arguments

x	A vector with dimensions N\times 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

simts documentation built on Aug. 31, 2023, 5:07 p.m.