[R] Wavelet Output
ryanteal22 at yahoo.ca
Wed Aug 23 21:07:26 CEST 2006
I am new to r as well as wavlets. The following is a times series from a
bond portfolio I have uploaded from a text file.
Bond1 <- scan("C:.../UploadR2.txt")
I am trying to decompose the portfolio return using wavelets. My goal is to
find out the wavlet variance and average at each scale to then input into a
Sharpe Ratio calculation to see what investment horizons are important
contributors to the time series variance
I used the following:
Bond1.returns <- ts(Bond1)
Bond1.volatility <- abs(Bond1.returns)
Bond1v.haar <- mra(Bond1.volatility, "haar", 4, "dwt")
names(Bond1v.haar) <- c("d1", "d2", "d3", "d4", "s4")
Bond1v.la8 <- mra(Bond1.volatility, "la8", 4, "dwt")
names(Bond1v.la8) <- c("d1", "d2", "d3", "d4", "s4")
How do I interpret the output?
View this message in context: http://www.nabble.com/Wavelet-Output-tf2154251.html#a5950734
Sent from the R help forum at Nabble.com.
More information about the R-help