nag_modwt (c09dac) computes the one-dimensional maximal overlap discrete wavelet transform (MODWT) at a single level. The initialization function nag_wfilt (c09aac)
must be called first to set up the MODWT options.
nag_modwt (c09dac) computes the one-dimensional MODWT of a given input data array,
, at a single level. For a chosen wavelet filter pair, the output coefficients are obtained by applying convolution to the input,
. The approximation (or smooth) coefficients,
, are produced by the low pass filter and the detail coefficients,
, by the high pass filter. Periodic (circular) convolution is available as an end extension method for application to finite data sets. The number
, of coefficients
is returned by the initialization function nag_wfilt (c09aac)
The accuracy of the wavelet transform depends only on the floating-point operations used in the convolution and downsampling and should thus be close to machine precision.
This example computes the one-dimensional maximal overlap discrete wavelet decomposition for values using the Daubechies wavelet, .