wavethresh: CWavDE – R documentation

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CWavDE

Simple wavelet density estimator with hard thresholding

Description

This function implements the density estimator with hard thresholding described by Hall, P. and Patil, P. (1995) Formulae for mean integrated squared error of nonlinear wavelet-based density estimators, Ann. Statist., 23, 905-928.

Usage

CWavDE(x, Jmax, threshold=0, nout=100, primary.resolution=1, filter.number=10,
	family="DaubLeAsymm", verbose=0, SF=NULL, WV=NULL)

Arguments

`x`	Vector of real numbers. This is the data for which you want a density estimate for
`Jmax`	The maximum resolution of wavelets
`threshold`	The hard threshold value for the wavelet coefficients
`nout`	The number of ordinates in the density estimate
`primary.resolution`	The usual wavelet density estimator primary resolution
`filter.number`	The wavelet filter number, see `filter.select`
`family`	The wavelet family, see `filter.select`
`verbose`	The level of reporting performed by the function, legit values are 0, 1 or 2, with 2 being more reports
`SF`	Scaling function values in format as returned by `draw.default`
`WV`	Wavelet function values in format as returned by `draw.default`

Details

As the description.

Value

A list containing the following components:

`x`	A vector of length `nout` that covers the range of the input data `x`, plus some more depending on the support of the wavelet and the primary resolution.
`y`	A vector of length `nout` that contains the output wavelet density estimate
`sfix`	The integer values of the translates of the scaling functions used in the estimate
`wvixmin`	As for sfix, but a vector of length `Jmax` which contains the minimum integer wavelet translates
`wvixmax`	As for wvixmin, but with the maxima

Author(s)

G P Nason

Examples

#
# Let's generate a bi-modal artificial set of data.
#
x <- c( rnorm(100), rnorm(100, 10))
#
# Now perform simple wavelet density estimate
#
wde <- CWavDE(x, Jmax=10, threshold=1)
#
# Plot results
#
## Not run: plot(wde$x, wde$y, type="l")

wavethresh

Wavelets Statistics and Transforms

v4.6.8

GPL (>= 2)

Authors

Guy Nason [aut, cre]

Initial release

2016-10-18