R: Wavelet Shrinkage via Thresholding

Thresholding {waveslim} | R Documentation

## Wavelet Shrinkage via Thresholding

### Description

Perform wavelet shrinkage using data-analytic, hybrid SURE, manual, SURE, or universal thresholding.

### Usage

    da.thresh(wc, alpha = .05, max.level = 4, verbose = FALSE, return.thresh = FALSE)
    hybrid.thresh(wc, max.level = 4, verbose = FALSE, seed = 0)
    manual.thresh(wc, max.level = 4, value, hard = TRUE)
    sure.thresh(wc, max.level = 4, hard = TRUE)
    universal.thresh(wc, max.level = 4, hard = TRUE)
    universal.thresh.modwt(wc, max.level = 4, hard = TRUE)

### Arguments

`wc` | wavelet coefficients
`alpha` | level of the hypothesis tests
`max.level` | maximum level of coefficients to be affected by threshold
`verbose` | if `verbose=TRUE` then information is printed to the screen
`value` | threshold value (only utilized in `manual.thresh`)
`hard` | Boolean value, if `hard=F` then soft thresholding is used
`seed` | sets random seed (only utilized in `hybrid.thresh`)
`return.thresh` | if `return.thresh=TRUE` then the vector of threshold values is returned, otherwise the surviving wavelet coefficients are returned

### Details

An extensive amount of literature has been written on wavelet shrinkage. The functions here represent the most basic approaches to the problem of nonparametric function estimation. See the references for further information.

### Value

The default output is a list structure, the same length as was input, containing only those wavelet coefficients surviving the threshold.

### Author(s)

B. Whitcher (some code taken from R. Todd Ogden)

### References

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

Ogden, R. T. (1996) Essential Wavelets for Statistical Applications and Data Analysis, Birkhauser.

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

Vidakovic, B. (1999) Statistical Modeling by Wavelets, John Wiley \& Sons.

[Package waveslim version 1.8.2 Index]