[R-sig-finance] updated package waveslim 1.4

[Brandon.J.Whitcher at gsk.com]

waveslim 1.4 has recently been uploaded to CRAN and is fully compatible 
with Rv2.0.  The package includes:

Basic wavelet routines for time series (1D), image (2D) and array (3D) 
analysis. The code provided here is based on wavelet methodology developed 
in Percival and Walden (2000) and Gencay, Selcuk and Whitcher (2001).  All 
figures in chapters 4-7 of GSW (2001) are reproducible using this package 
and R code available at 
http://www.cgd.ucar.edu/stats/staff/whitcher/book/GSW_figures.R.
Gencay, R., Selcuk, F. and Whitcher, B. (2001).  An Introduction to 
Wavelets and Other Filtering Methods for Finance and Economics.  Academic 
Press, San Diego.
Percival, D.B., and Walden, A.T. (2000).  Wavelet Methods for Time Series 
Analysis.  Cambridge University Press, Cambridge.

Besides ensuring usability with the most recent version of R, two 
additional "flavors" of wavelet methodology have been added to the 
package: (1) Hilbert wavelet pairs and (2) the dual-tree complex wavelet 
transform [only 1D and 2D ported from Matlab code by Selesnick].  The 
dual-tree CWT code has not been optimized for R (only a "direct" port from 
Matlab) so reasonable speed-ups are anticipated in the future. 
Comments/bug reports are welcome.

References for (1) include: 

Selesnick, I.W. (2001). Hilbert transform pairs of wavelet bases. IEEE 
Signal Processing Letters 8 (6), 170–173.
Selesnick, I.W. (2002). The design of approximate Hilbert transform pairs 
of wavelet bases. IEEE Transactions on Signal Processing 50 (5), 
1144–1152.
Whitcher, B. and P.F. Craigmile (2004). Multivariate Spectral Analysis 
Using Hilbert Wavelet Pairs, International Journal of Wavelets, 
Multiresolution and Information Processing, 2 (4), in press.

References for (2) include: 

Kingsbury, N. (1999). Image processing with complex wavelets. Proceedings 
of the Royal Society of London, Series A, 357, 2543–2560.
Kingsbury, N. (2001). Complex wavelets for shift invariant analysis and 
filtering of signals. Applied and Computational Harmonic Analysis, 10 (3), 
234–253.

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Brandon


Brandon Whitcher, PhD
Translational Medicine & Technology
GlaxoSmithKline
Greenford Road
Greenford UB6 0HE, United Kingdom
Tel: +44 (0)20 8966 4511
Fax: +44 (0)20 8966 2757
Mob: +44 (0)7717 800 375


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