multiwave (version 1.4)

compute_nj: Wavelets coefficients utilities

Description

Computes the number of wavelet coefficients at each scale.

Usage

compute_nj(n, N)

Arguments

n

sample size.

N

filter length.

Value

nj

number of coefficients at each scale.

J

Number of scales.

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, scaling_filter

Examples

# NOT RUN {
res_filter <- scaling_filter('Daubechies',8);
filter <- res_filter$h
n <- 5^10
N <- length(filter)
compute_nj(n,N)
# }