chooseLevel function

Select the DWT level of decomposition based on wavelet filter, data series length and a user choice

chooseLevel(choice, filter, N)

Arguments

• choice: Valid values:

  • "Conservative" : $J \< log2(N / (L - 1) + 1)$
  • "Max" : $J \<= log2(N)$
  • "Supermax" : $J \<= log2(1.5 * N)$

• filter: Wavelet transform filter name. To see the available filters use the function availableFilters

• N: Number of observations. Must be a positive integer

Returns

Number of level of decomposition based in selection criteria

Examples

lev <- chooseLevel("conservative", "haar", 8)

References

Percival, D. B. and A. T. Walden (2000) Wavelet Methods for Time Series Analysis. Cambridge: Cambridge University Press.