hanaml.DWT.Rd
hanaml.DWT is an R wrapper for PAL discrete wavelet transform.
hanaml.DWT(
data = NULL,
key = NULL,
endog = NULL,
filter = NULL,
n.levels = NULL,
boundary = NULL,
compression = NULL,
method = NULL,
threshold = NULL,
level.thresholds = NULL
)
DataFrame
DataFrame containing the time-series data to apply discrete wavelet transform.
character
Name of the time-stamp column in data
.
character, optional
The endogenous variable, i.e. time series.
Defaults to the first non-ID column.
character
Specifies the wavelet filter used for discrete wavelet transform.
Valid options include:
Daubechies family: "db1" ~ "db20".
Biorthognal family: "bior1.1", "bior1.3", "bior1.5", "bior2.2", "bior2.4", "bior2.6", "bior2.8", "bior3.1", "bior3.3", "bior3.5", "bior3.7", "bior3.9", "bior4.4", "bior5.5", "bior6.8".
Reverse Biorthogal family: "rbio1.1", "rbio1.3", "rbio1.5", "rbio2.2", "rbio2.4", "rbio2.6", "rbio2.8", "rbio3.1", "rbio3.3", "rbio3.5", "rbio3.7", "rbio3.9", "rbio4.4", "rbio5.5", "rbio6.8"
Coifman family: "coif1" ~ "coif5".
Symmetric family: "sym2" ~ "sym20".
numeric/integer, optional
Specifies the decompose level for discrete wavelet transform.
Defaults to 1.
character, optional
Specifies the padding method for boundary values.
Valid options include:
"zero": Zero padding
"symmetric": Symmetric padding
"periodic": Periodic padding
"reflect": Reflect padding
"smooth": Smooth padding
"constant": Constant padding
Defaults to "zero".
character, optional
Specifies whether or not to discard zero values in wavelet coefficients.
Defaults to FALSE.
character, optional
Specifies the thresholding method applied to wavelet coefficients.
"no": No thresholding
"soft": Soft-thresholding
"hard": Hard-thresholding
Defaults to "no".
numeric, optional
Specifies the threshold value for soft/hard-thresholding.
Valid only when method
is "soft" or "hard".
Defaults to 1e-9.
list of vectors, optional
Specifies level specific thresholding values in a list, with each
element being a numeric vector of length 2: first number being level,
second number being threshold value.
For example: list(c(1, 1e-3), c(2, 1e-4)) means using threshold le-3 for level 1
wavelet coefficients and using threshold 1e-4 for level 2 wavelet coefficients.
If both threshold
and level.thresholds
are specified,
level.thresholds
takes precedence.
Returns a "DWT" object with the following attributes:
coeff: DataFrame
Wavelet coefficients of the time-series data up to the specified
decomposition level using the specified wavelet filter.
Applying discrete wavelet transform to 1D time-series, using different wavelet filters, up to different decomposition levels and on various boundary extension modes.