mra {waveslim} | R Documentation

## Multiresolution Analysis of Time Series

### Description

This function performs a level J additive decomposition of the input vector or time series using the pyramid algorithm (Mallat 1989).

### Usage

    mra(x, wf = "la8", J = 4, method = "modwt", boundary = "periodic")

### Arguments

`x` | A vector or time series containing the data be to decomposed. This must be a dyadic length vector (power of 2) for `method="dwt"`.
`wf` | Name of the wavelet filter to use in the decomposition. By default this is set to `"la8"`, the Daubechies orthonormal compactly supported wavelet of length L=8 least asymmetric family.
`J` | Specifies the depth of the decomposition. This must be a number less than or equal to log(length(x),2).
`method` | Either `"dwt"` or `"modwt"`.
`boundary` | Character string specifying the boundary condition. If `boundary=="periodic"` the default, then the vector you decompose is assumed to be periodic on its defined interval, if `boundary=="reflection"`, the vector beyond its boundaries is assumed to be a symmetric reflection of itself.

### Details

This code implements a one-dimensional multiresolution analysis introduced by Mallat (1989). Either the DWT or MODWT may be used to compute the multiresolution analysis, which is an additive decomposition of the original time series.

### Value

Basically, a list with the following components

`D?` | Wavelet detail vectors.
`S?` | Wavelet smooth vector.
`wavelet` | Name of the wavelet filter used.
`boundary` | How the boundaries were handled.

### Author(s)

B. Whitcher

### References

Gencay, R., F. Selcuk and B. Whitcher (2001) An Introduction to Wavelets and Other Filtering Methods in Finance and Economics, Academic Press.

Mallat, S. G. (1989) A theory for multiresolution signal decomposition: the wavelet representation, IEEE Transactions on Pattern Analysis and Machine Intelligence, 11, No. 7, 674-693.

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

### See Also

`dwt`, `modwt`.

### Examples

    ## Easy check to see if it works...
    x <- rnorm(32)
    x.mra <- mra(x)
    sum(x - apply(matrix(unlist(x.mra), nrow=32), 1, sum))^2

    ## Figure 4.19 in Gencay, Selcuk and Whitcher (2001)
    data(ibm)
    ibm.returns <- diff(log(ibm))
    ibm.volatility <- abs(ibm.returns)
    ## Haar
    ibmv.haar <- mra(ibm.volatility, "haar", 4, "dwt")
    names(ibmv.haar) <- c("d1", "d2", "d3", "d4", "s4")
    ## LA(8)
    ibmv.la8 <- mra(ibm.volatility, "la8", 4, "dwt")
    names(ibmv.la8) <- c("d1", "d2", "d3", "d4", "s4")
    ## plot multiresolution analysis of IBM data
    par(mfcol=c(6,1), pty="m", mar=c(5-2,4,4-2,2))
    plot.ts(ibm.volatility, axes=FALSE, ylab="", main="(a)")
    for(i in 1:5)
      plot.ts(ibmv.haar[[i]], axes=FALSE, ylab=names(ibmv.haar)[i])
    axis(side=1, at=seq(0,368,by=23),
      labels=c(0,"",46,"",92,"",138,"",184,"",230,"",276,"",322,"",368))
    par(mfcol=c(6,1), pty="m", mar=c(5-2,4,4-2,2))
    plot.ts(ibm.volatility, axes=FALSE, ylab="", main="(b)")
    for(i in 1:5)
      plot.ts(ibmv.la8[[i]], axes=FALSE, ylab=names(ibmv.la8)[i])
    axis(side=1, at=seq(0,368,by=23),
      labels=c(0,"",46,"",92,"",138,"",184,"",230,"",276,"",322,"",368))

[Package waveslim version 1.7.5.1 Index]