Abbreviation: WaveletSortDaub12
Category: Wavelet
Input Parameters:
| Name | Range | Default |
| Time Series | Close | |
| Window Exponent | 1 <= Int <= 10 | 6 |
| Sorted Wavelet Number | 1 <= Int <= 2^WinExponent | 1 |
Calculation:
SortDescending(Daub12Wavelet(X,n))(W)
Calculates discrete Daubechies-12 wavelet transform of X over the last n points. Sorts the coefficients in descending order. Returns value of Wth largest wavelet coefficient. The value of Smoothing (bias) coefficient is not included in the sorting (as it has different nature) and it can be accessed through WaveletValueDaub12(X,n,1).
where
X = Time Series
n = 2^Window Exponent
W = Sorted Wavelet Number
Discussion:
This indicator provides the possibility to estimate relative significance of several largest wavelets. For more information on Wavelets refer to Wavelet Discussion.
For more details, refer to Wavelets and Filter Banks, by Gilbert Strang and Truong Nguyen (Wellesley ‘ Cambridge Press, 1996).