"SMOOTHING THE WAVELET PERIODOGRAM USING THE HAAR-FISZ TRANSFORM"

This page accompanies the article Smoothing the wavelet periodogram using the Haar-Fisz transform by Piotr Fryzlewicz and Guy P. Nason. The reader can download here the routines written for the paper, as well as the Dow Jones data set analysed in it.

The functions have been written in S and designed for S-Plus 2000. Additionally, some of the functions require WaveThresh3, a free add-on module for S-Plus written by Guy P. Nason.

Downloading and installing the functions.

  1. Click here to download the archive "wavper.zip", which contains the functions.
  2. Extract the archive. You will get the file "wavper".
  3. Run S-Plus and type (in Windows)"data.restore("D:\\PATH\\wavper")", where D:\PATH is the directory containing "wavper".
  4. The functions are now available.

List of functions --- click on the name for help

Main routines

Routines for performing the Haar-Fisz transform and the inverse Haar-Fisz transform Gaussian denoisers Scale extraction

Other useful functions and the Dow Jones data set

This software suite contains some other functions which the user may find useful here: cor.spec, hper, loc.var, sp.plot, as well as the Dow Jones data set: djia.