[R] Wavelet Output

hedger22 ryanteal22 at yahoo.ca
Wed Aug 23 21:07:26 CEST 2006

Hello all,

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)

## Haar
Bond1v.haar <- mra(Bond1.volatility, "haar", 4, "dwt")
names(Bond1v.haar) <- c("d1", "d2", "d3", "d4", "s4")
## LA(8)
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
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