mra {wavelets} | R Documentation |
Computes the multiresolution analysis for a univariate or multivariate time series.
mra(X, filter="la8", n.levels, boundary="periodic", fast=TRUE, method="dwt")
X |
A univariate or multivariate time series. Numeric vectors, matrices and data frames are also accepted. |
filter |
Either a wt.filter object, a character string
indicating which wavelet filter to use in the decomposition, or a
numeric vector of wavelet coefficients (not scaling coefficients). See
help(wt.filter) for acceptable filter names. |
n.levels |
An integer specifying the level of the decomposition. By default this is the value J such that the length of X is at least as great as the length of the level J wavelet filter, but less than the length of the level J+1 wavelet filter. Thus, j <= log((N-1)/(L-1)+1), where N is the length of X. |
boundary |
A character string indicating which boundary method to
use. boundary = "periodic" and boundary = "reflection"
are the only supported methods at this time. |
fast |
A logical flag which, if true, indicates that the pyramid algorithm is computed with an internal C function. Otherwise, only R code is used in all computations. |
method |
A character string, taking values "dwt" or "modwt", that indicates which type of transform to use when computing the MRA. |
Returns an object of class mra
, which is an S4 object with
slots
D |
A list with element i comprised of a matrix containing the ith level wavelet detail. |
S |
A list with element i comprised of a matrix containing the ith level wavelet smooths. |
filter |
A wt.filter object containing information for
the filter used in the decomposition. See help(wt.filter) for
details. |
level |
An integer value representing the level of wavelet decomposition. |
boundary |
A character string indicating the boundary method used in the wavelet decomposition. Valid values are "periodic" or "reflection". |
series |
The original time series, X , in matrix format. |
class.X |
A character string indicating the class of the input
series. Possible values are "ts" , "mts" ,
"numeric" , "matrix" , or "data.frame" . |
attr.X |
A list containing the attributes information of the
original time series, X . This is useful if X is an
object of class ts or mts and it is desired to retain
relevant time information. If the original time series, X , is
a matrix or has no attributes, then attr.X is an empty list. |
method |
A character string indicating which type of wavelet decomposition was performed (either "dwt" or "modwt"). |
Eric Aldrich. ealdrich@gmail.com.
Percival, D. B. and A. T. Walden (2000) Wavelet Methods for Time Series Analysis, Cambridge University Press.
# obtain the two series listed in Percival and Walden (2000), page 42 X1 <- c(.2,-.4,-.6,-.5,-.8,-.4,-.9,0,-.2,.1,-.1,.1,.7,.9,0,.3) X2 <- c(.2,-.4,-.6,-.5,-.8,-.4,-.9,0,-.2,.1,-.1,.1,-.7,.9,0,.3) # combine them and compute MRA newX <- cbind(X1,X2) mra.out <- mra(newX, n.levels=3, boundary="reflection")