r语言实现小波分析

实现效果

 

左图为原始数据，右图为小波分析加显著性检测结果

所需包：WaveletComp

一、安装并加载WaveletComp包

install.packages('WaveletComp')

加载：

library('WaveletComp')

 

二、创造数据并执行小波分析及模拟

series.length = 6*128*24
x1 = periodic.series(start.period = 1*24, length = series.length)
x2 = periodic.series(start.period = 8*24, length = series.length)
x3 = periodic.series(start.period = 32*24, length = series.length)
x4 = periodic.series(start.period = 128*24, length = series.length)
x = x1 + x2 + x3 + x4

plot(ts(x, start=0, frequency=24), type="l", 
  xlab="time (days)", 
  ylab="hourly data", main="a series of hourly data with periods of 1, 8, 32, and 128 days")
     
my.data = data.frame(x=x)

my.wt = analyze.wavelet(my.data, "x", 
                        loess.span=0, 
                        dt=1/24, dj=1/20, 
                        lowerPeriod=1/4, 
                        make.pval=T, n.sim=10)

## Plot of wavelet power spectrum (with equidistant color breakpoints):  
wt.image(my.wt, color.key="interval", legend.params=list(lab="wavelet power levels"))
## Plot of average wavelet power:
wt.avg(my.wt, siglvl=0.05, sigcol="red")