WAVELET ESTIMATOR

DESCRIPTION

This method computes the Discrete Wavelet Transform, averages the squares of the coefficients of the transform, and then performs a linear regression on the logarithm of the average, versus the log of j, the scale parameter of the transform. The result should be directly proportional to H.

GRAPHICAL OUTPUT

• Fractional Gaussian Noise (H = 0.7)
• FARIMA(1,d,1) (H = 0.7)
• Ethernet Byte Data
• Ethernet Packet Data

IMPLEMENTATION

There are several options available for using this method: method.

1. The length of the data must be entered (power of 2).
2. j1, j2 are the beginning and ending octaves for the estimation.
3. N is the order of the wavelet. (2 default)
4. plotflag allows plotting or not. (default T)
5. Calls functions from the Statlib Wavelet package. ( wd, accessD ).
6. Inside function, a bound.effect is used in the estimation to avoid boundary effects on the coefficients.

• Sample Runs
• Splus Source Code