#include <assert.h>
#include <stdio.h>
#include <vector>
#include "signalUtil.h"
#include "spectrum.h"
#include "yahooTS.h"
#include "line.h"
Go to the source code of this file.
Functions | |
void | calcReturn (double *ret, const double *close, size_t N) |
int | main () |
\function. More... |
Non-stationary signals are signals that do repeat infinitely, as sine and cosine based signals do.
The documentation in this file is formatted for doxygen (see www.doxygen.org).
You may use this source code without limitation and without fee as long as you include: This software was written and is copyrighted by Ian Kaplan, Bear Products International, www.bearcave.com, 2002.
This software is provided "as is", without any warranty or claim as to its usefulness. Anyone who uses this source code uses it at their own risk. Nor is any support provided by Ian Kaplan and Bear Products International.
Please send any bug fixes or suggested source changes to:
iank@bearcave.com
Definition in file nonstat.cpp.
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Definition at line 51 of file nonstat.cpp. Referenced by main().
00052 { 00053 for (size_t i = 1; i <= N; i++) 00054 ret[i-1] = (close[i] - close[i-1])/close[i-1]; 00055 } |
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\function. The entry point for code to test the wavelet packet transform. The code in main provides a simple example of how to call the wavelet packet transform code. This test case can be used with various wavelet functions (e.g., Haar, linear interpolation, Daubechies D4, polynomial interpolation). In the context of filters, the polynomial interpolation wavelets (see poly.h and polyHaar.h) are very bad choices. The polynomial interpolation wavelets do not divide the spectrum into high and low frequency components. Instead, the power spectrum shows one peak. I'm not sure if this means that the polynomial interpolation wavelets are bad for all applications. For example, another way to look at wavelets is as approximation functions. For example, wavelet compression relies approximation functions. In this case polynomial wavelets may be a good choice for some data sets. Definition at line 82 of file nonstat.cpp. 00083 { 00084 const size_t NClose = 513; 00085 double close[NClose]; 00086 00087 const char *path = "..\\data\\equities\\"; 00088 yahooTS ts( path ); 00089 const char *stock = "amat"; 00090 00091 size_t n = NClose; 00092 ts.getTS( stock, close, n, yahooTS::Close ); 00093 00094 if (n != NClose) { 00095 printf("Error reading file %s%s\n", path, stock ); 00096 return 0; 00097 } 00098 00099 const size_t N = 512; 00100 double ret[ N ]; 00101 00102 calcReturn( ret, close, N ); 00103 00104 // prVec( ret, N ); 00105 00106 // linear interpolation wavelet 00107 line<double *> w; 00108 00109 double *ptr = ret; 00110 w.forwardTrans( ptr, N ); 00111 00112 std::vector<double> powerVec; 00113 spectrum::spectralCalc( ret, N, powerVec ); 00114 00115 // 00116 // Print out the power spectrum 00117 // 00118 size_t len = powerVec.size(); 00119 for (size_t i = 0; i < len; i++) { 00120 // printf("%2d, %7.4f\n", i, powerVec[i] ); 00121 } 00122 00123 double d1[N], d2[N]; 00124 00125 spectrum::copyBands( d1, ret, N, 0, 7 ); 00126 spectrum::copyBands( d2, ret, N, 8, 9 ); 00127 00128 ptr = d1; 00129 w.inverseTrans( ptr, N ); 00130 00131 ptr = d2; 00132 w.inverseTrans( ptr, N ); 00133 00134 // 00135 // Print out the lower half of the spectrum 00136 // 00137 // signalUtil::prVec( d1, N ); 00138 00139 // 00140 // Print out the upper half of the spectrum 00141 // 00142 signalUtil::prVec( d2, N ); 00143 00144 return 0; 00145 } |