Inverse Maximal Overlap Discrete Wavelet Transform
Computes the inverse maximal overlap discrete wavelet transform for a maximal overlap discrete wavelet transform that was obtained from a univariate or multivariate time series.
imodwt(wt, fast=TRUE)
wt |
A |
fast |
A logical flag which, if true, indicates that the inverse pyramid algorithm is computed with an internal C function. Otherwise, only R code is used in all computations. |
The inverse discrete wavelet transform is computed via the inverse pyramid algorithm, using pseudocode written by Percival and Walden (2000), p. 101.
An object with class and attributes equivalent to the original
series that was used to compute the MODWT. In general, the output will
be equivalent to the original series (i.e. X = imodwt(modwt(X))), however
when thresholding or shrinkage methods are used on the modwt
object, the output of imodwt may differ from the original series.
Eric Aldrich. ealdrich@gmail.com.
Percival, D. B. and A. T. Walden (2000) Wavelet Methods for Time Series Analysis, Cambridge University Press.
# obtain the two series listed in Percival and Walden (2000), page 42 X1 <- c(.2,-.4,-.6,-.5,-.8,-.4,-.9,0,-.2,.1,-.1,.1,.7,.9,0,.3) X2 <- c(.2,-.4,-.6,-.5,-.8,-.4,-.9,0,-.2,.1,-.1,.1,-.7,.9,0,.3) # combine them and compute MODWT newX <- cbind(X1,X2) wt <- modwt(newX, n.levels=3, boundary="reflection") # compute the inverse MODWT invX <- imodwt(wt) # compare newX invX
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