fastWavelets: Compute Maximal Overlap Discrete Wavelet Transform (MODWT) and À Trous Discrete Wavelet Transform
John Quilty, John You · 2022
A lightweight package to compute Maximal Overlap Discrete Wavelet Transform (MODWT) and À Trous Discrete Wavelet Transform by leveraging the power of 'Rcpp' to make these operations fast. This package was designed for use in forecasting, and allows users avoid the inclusion of future data when performing wavelet decomposition of time series. See Quilty and Adamowski (2018) .