Dear all: Greetings from Mumbai, India.
Reference R help solution [Rogerio, Thu 16 Nov 2006 - 20:54:25 GMT]. Simonsen, Jensen and Johansen (2002) [arXiv:cond-mat/0202352v1] note "(.wavelet filtered was...) achieved by first transforming the log-price [...] to the wavelet-domain, setting all wavelet coefficient corresponding to scales larger then 1000 trading days to zero, and finally transforming back to the time domain." Question: What does 'scales larger than 1000 trading days' mean? Does it mean all coefficients of order more than 10 (1024=2^10) equal to zero? Or am I missing something? Rogerio's solution [Thu 16 Nov 2006 - 20:54:25 GMT] doesn't seem to work{waveslim, modwt, la8, boundary=periodic, serieslength=3464}; also tried with la4, but the reconstruction is too smooth, almost flat. Any help will be appreciated. regards, pradeep ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.