Discrete wavelet decomposition for a time series

Discrete wavelet decomposition for a time series

Usage

morie_wavelet_time_series(x, wavelet = "haar", level = NULL)

Arguments

x

Numeric univariate series.

wavelet

Wavelet family. Default "haar".

level

Decomposition depth. Default floor(log2 n) capped at 6.

Value

Named list with approximation, details, energies, level, n, wavelet, method.

Examples

morie_wavelet_time_series(x = rnorm(50))
#> $approximation
#> [1] -1.11769344 -0.02016362
#> 
#> $details
#> $details[[1]]
#> [1]  1.5815756 -0.4291541
#> 
#> $details[[2]]
#> [1]  0.08754425 -0.44797894  0.46741990  0.31771558
#> 
#> $details[[3]]
#> [1]  0.4993162  1.1265987  0.2193431  1.0731739 -1.2039766 -0.2674525  0.4493177
#> [8]  0.0000000
#> 
#> $details[[4]]
#>  [1]  0.379908817 -1.291607497 -2.167558229 -0.043963977  0.858535463
#>  [6] -1.198322800  0.018369470 -0.155476688  1.079549159  0.889906672
#> [11]  0.005651745 -1.800489752  0.635431153  0.000000000  0.000000000
#> [16]  0.000000000
#> 
#> $details[[5]]
#>  [1]  1.22707794  0.20458845  2.09283403 -0.90112371  0.04665647 -1.34569065
#>  [7]  0.85629877 -0.02719212 -1.23551309 -0.77931728  0.23108042 -0.77936463
#> [13] -2.23667032  0.20443873  0.83904226  0.19158755 -0.12587174  0.31867715
#> [19]  2.10423365 -0.56567986 -0.94769986  0.80733241 -1.02500247 -0.54230090
#> [25] -0.43048403  0.00000000  0.00000000  0.00000000  0.00000000  0.00000000
#> [31]  0.00000000  0.00000000
#> 
#> 
#> $energies
#> [1]  1.2496452  2.6855545  0.5277737  4.4413317 14.3133216 25.8115738
#> 
#> $level
#> [1] 5
#> 
#> $n
#> [1] 50
#> 
#> $wavelet
#> [1] "haar"
#> 
#> $method
#> [1] "DWT (rmorie native, wavelet=haar, level=5)"
#>