modwt | efficient modwt wavelets package | Machine Learning library
kandi X-RAY | modwt Summary
kandi X-RAY | modwt Summary
An efficient implementation of the the Maximal Overlap Discrete Wavelet Tranform (MODWT). See D. B. Percival and A. T. Walden (2000), Wavelet Methods for Time Series Analysis. Cambridge, England: Cambridge University Press. This is not the usual discrete wavelet transform found in, for example, gsl but an extended set of algorithms designed to overcome some problems with the usual discrete wavelet transform. See for an overview and comparison to the regular discrete transform.
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QUESTION
I would like to use the wavemulcor package and in particular the wave.multiple.cross.correlation function to perform a wavelet multiple cross correlation on my data.
I am following the example as per the package manual but using my data instead. The function works with the example data but throws an error when I try it with mine. The error refers to "replacement has length zero" but I am unsure what this exacly means.
I've googled the error but there are many examples of the same issue for different function and generally they all have something to do with loops in code.
I then googled how to troubleshoot the problem and read about debugging. I tried debugging the code but I can't figure out where it's breaking down, I am still at the early stages of learning to code. I think it might be this section of code in the wave.multiple.cross.correlation function that is causing the problem:
...ANSWER
Answered 2017-Jul-22 at 21:56Having reviewed the code with a fine tooth comb I have spotted the error in my code. According to the manual the usage is as follows:
QUESTION
I have 3 time series which I can apply the wavelet transform to using a rolling window. The rolling window takes a single time series of length 200 and applies the waveslim::modwt
function to it over the first 30 samples. This outputs 5 lists of which I am only interested in (d1,d2,d3,d4) and these each have a length of 30. A simple example can be found here:
ANSWER
Answered 2017-Aug-18 at 19:56Putting together the pieces you give in your question:
1) Create 3 time series
QUESTION
I would like to use rollapply or rollapplyr to apply the modwt function to my time series data.
I'm familiar with how rollapply/r works but I need some help setting up the output so that I can correctly store my results when using rollapply.
The modwt function in the waveslim package takes a time series and decomposes it into J levels, for my particular problem J = 4 which means I will have 4 sets of coefficients from my single time series stored in a list of 5. Of this list I am only concerned with d1,d2,d3 & d4.
The output of the modwt function looks as follows
...ANSWER
Answered 2017-Aug-15 at 11:39Define modwt2 which invokes modwt, takes the first 4 components and strings them out into a numeric vector. Then use rollapplyr
with that giving rollr
where each row of rollr
is the result of one call to modwt2
. Finally, reshape each row of rollr
into a separate matrix and create a list, L
, of those matrices:
QUESTION
I wish to compute the wavelet transform of a multivariate time series dataset. I plan to use the wavethresh package and specifically the modwt()
function. The help file for this function specifies that the object be either "A univariate or multivariate time series. Numeric vectors, matrices and data frames are also accepted."
Currently my dataset is in xts zoo format where the time is in 15 min intervals and I wish to convert it to ts but I am having great difficulty.
I have tried the following:
...ANSWER
Answered 2017-May-29 at 23:11The general function to compute a frequency is:
frequency = number_of_events / time_interval
As your data have 1343 rows for a time interval of 14 days, the frequency depend on what is your time unit.
Time unit: Day
In this case, the frequency is:
QUESTION
I wish to apply the modwt function to an XTS object I have, this XTS object (wideRawXTS) has 12 columns.
This code has previously worked for me without any error and only this evening am I receiving this error. I have read some other threads regarding unused arguments and I have restarted my session a number of times with no success using .rs.restartR()
The error relates to an unused argument in a function, which function I am not entirely sure but I am guessing it's modwt.
...ANSWER
Answered 2017-Jul-10 at 23:31try adding the namespace explicitly as in wavelets::modwt
, to ensure it's not picking up the waveslim one you also have attached.
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