hwwntest (version 1.3.2)

sqndwdecomp: Brute-force calculation of the non-decimated squared wavelet transform.

Description

Accurate, but brute-force, direct (slow) calculation of the non-decimated squared wavelet transform.

Usage

sqndwdecomp(x, J, filter.number, family)

Value

Returns a matrix of J rows and length(x) columns. Row j in the matrix returned corresponds to the level (nlev-j) resolution level coefficients (where nlev is nlevelsWT(x)) in the WaveThresh ordering.

Arguments

x

The sequence you want to transform

J

The number of resolutions you want

filter.number

The wavelet filter you wish to use.

family

The wavelet family you wish to use

Author

Piotr Fryzlewicz (modified by Guy Nason)

Details

Works by computing the discrete wavelets and the necessary scales using hwwn.dw function. Then forms the direct inner product with the data with the squares of the discrete wavelets.

References

Fryzlewicz, P., Nason, G.P. and von Sachs, R. (2008) A wavelet-Fisz approach to spectrum estimation. J. Time Ser. Anal., 29, 868-880.

See Also

sqndwd

Examples

#
# Generate random series and then take transform
x <- rnorm(128)
y <- sqndwdecomp(x=x, J=2, filter.number=3, family="DaubExPhase")