gmwm (version 2.0.0)

modwt_cpp: 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 $N x 1$.

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.

Value

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

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.

Examples

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