[R] Wavelet reconstruction with coefficients set to zero

Pradeep Raje raje.pradeep at gmail.com
Wed Mar 18 09:14:54 CET 2009

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.

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