scaling_filter function

wavelet scaling filter coefficients

Computes the filter coefficients of the Haar or Daubechies wavelet family with a specific order

scaling_filter(family, parameter)

Arguments

• family: Wavelet family, 'Haar' or 'Daubechies'
• parameter: Order of the Daubechies wavelet (equal to twice the number of vanishing moments). The value of parameter can be 2,4,8,10,12,14 and 16.

Returns

• h: Vector of scaling filter coefficients.

• M: Number of vanishing moments.

• alpha: Fourier decay exponent.

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

Examples

res_filter <- scaling_filter('Daubechies',8);
filter <- res_filter$h
M <- res_filter$M
alpha <- res_filter$alpha