modwt {wv}

Maximum Overlap Discrete Wavelet Transform

Description

Calculates the coefficients for the discrete wavelet transformation

Usage

modwt(x, nlevels = floor(log2(length(x) - 1)), filter = "haar")

Arguments

x

A vector with dimensions N x 1.

nlevels

A integer indicating the J levels of decomposition.

filter

A string indicating the filter name

Details

Performs a level J decomposition of the time series using the pyramid algorithm. The default J is determined by floor\left(log_2 \left(length\left(x\right)\right)\right)

Value

A field<vec> that contains the wavelet coefficients for each decomposition level

Author(s)

James Balamuta, Justin Lee and Stephane Guerrier

Examples

set.seed(999)
x = rnorm(100)
ret = modwt(x)

summary(ret)

plot(ret)