compute_nj function

Wavelets coefficients utilities

Computes the number of wavelet coefficients at each scale.

compute_nj(n, N)

Arguments

• n: sample size.
• N: filter length.

Returns

• nj: number of coefficients at each scale.

• J: Number of scales.

References

G. Fay, E. Moulines, F. Roueff, M. S. Taqqu (2009) Estimators of long-memory: Fourier versus wavelets. Journal of Econometrics, vol. 151, N. 2, pages 159-177.

S. Achard, I. Gannaz (2016) Multivariate wavelet Whittle estimation in long-range dependence. Journal of Time Series Analysis, Vol 37, N. 4, pages 476-512. http://arxiv.org/abs/1412.0391.

S. Achard, I Gannaz (2019) Wavelet-Based and Fourier-Based Multivariate Whittle Estimation: multiwave. Journal of Statistical Software, Vol 89, N. 6, pages 1-31.

Author(s)

S. Achard and I. Gannaz

See Also

DWTexact, scaling_filter

Examples

res_filter <- scaling_filter('Daubechies',8);
filter <- res_filter$h
n <- 5^10
N <- length(filter)
compute_nj(n,N)