Wavelets (MODWT) output confusion

hughesfleming

I have been reading a good introduction to wavelets written by Patrick Crowley "An intuitive guide to wavelets for economists and I am trying to understand a few things with regards to Rapidminer.

Below is a simple script that decomposes a time series (EURUSD) using MODWT using a Daub wavelet. What I would like to do if possible is extract spectral information and know the periods of the cycles. How would could this be done?

Kind regards,

Alex

<?xml version="1.0" encoding="UTF-8" standalone="no"?>
<process version="5.2.003">
  <context>
    <input/>
    <output/>
    <macros/>
  </context>
  <operator activated="true" class="process" compatibility="5.2.003" expanded="true" name="Process">
    <parameter key="logverbosity" value="all"/>
    <process expanded="true" height="809" width="1284">
      <operator activated="true" class="retrieve" compatibility="5.2.003" expanded="true" height="60" name="Retrieve" width="90" x="45" y="30">
        <parameter key="repository_entry" value="EURUSD OutofSample Data"/>
      </operator>
      <operator activated="true" class="set_role" compatibility="5.2.003" expanded="true" height="76" name="Set Role" width="90" x="179" y="30">
        <parameter key="name" value="Date"/>
        <parameter key="target_role" value="id"/>
        <list key="set_additional_roles">
          <parameter key="Close" value="label"/>
        </list>
      </operator>
      <operator activated="true" class="series:data_to_series" compatibility="5.1.002" expanded="true" height="60" name="Data To Series" width="90" x="380" y="30">
        <description>convert the example to a series using the noisySignal attribute</description>
        <parameter key="series_attribute" value="Close"/>
      </operator>
      <operator activated="true" class="series:discrete_wavelet_transformation" compatibility="5.1.002" expanded="true" height="60" name="Discrete Wavelet Transformation" width="90" x="514" y="30">
        <description>do the dwt transform</description>
        <parameter key="type" value="MODWT"/>
        <parameter key="mother wavelet" value="Daub-4"/>
      </operator>
      <operator activated="true" class="series:series_to_data" compatibility="5.1.002" expanded="true" height="60" name="Series To Data" width="90" x="648" y="30">
        <description>change the series back to an example set</description>
      </operator>
      <connect from_op="Retrieve" from_port="output" to_op="Set Role" to_port="example set input"/>
      <connect from_op="Set Role" from_port="example set output" to_op="Data To Series" to_port="example set"/>
      <connect from_op="Set Role" from_port="original" to_port="result 2"/>
      <connect from_op="Data To Series" from_port="series" to_op="Discrete Wavelet Transformation" to_port="series"/>
      <connect from_op="Discrete Wavelet Transformation" from_port="series" to_op="Series To Data" to_port="series"/>
      <connect from_op="Series To Data" from_port="example set" to_port="result 1"/>
      <portSpacing port="source_input 1" spacing="0"/>
      <portSpacing port="sink_result 1" spacing="0"/>
      <portSpacing port="sink_result 2" spacing="0"/>
      <portSpacing port="sink_result 3" spacing="0"/>
    </process>
  </operator>
</process>

hughesfleming

Ok. I figured out. Another paper by Patrick M. Crowley&#3;, Douglas Marauny and David Mayesz was useful as well as the waveslim documentation for R.

Regards