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<HTML>
<HEAD>
<TITLE>Wavelets:FAQ</TITLE>
<link rel="icon" href="http://atoc.colorado.edu/research/wavelets/favicon.ico" type="image/x-icon" />
<link rel="shortcut icon" href="http://atoc.colorado.edu/research/wavelets/favicon.ico" type="image/x-icon" />
</HEAD>
<BODY>
<H1>Wavelets: Frequently Asked Questions</H1>
<A HREF="#average">Averaging wavelet power spectra</A>
<P>
<A HREF="#bias">Bias of the Global Wavelet Spectrum</A>
<P>
<A HREF="#phase">Significance levels for wavelet phase differences</A>
<P>
<A HREF="#orthogonal">Orthogonal, orthonormal, and nonorthogonal,
and the Morlet</A>
<P>
<A HREF="#padding">Padding with zeroes up to a power-of-two</A>
<P>
<A HREF="#scale">Period versus Scale</A>
<P>
<A HREF="#significance">Significance Levels: Do they mean anything?</A>
<HR>
 <P>
<!------------------------------------------------------------------------>
<A NAME="average"><HR></A>
<B>If I have several realizations of a time series, is it okay to average
the wavelet power spectra together?</B>
<BLOCKQUOTE>
Usually, it is NOT okay to average different wavelet power spectrum (WPS)
together. The whole purpose of wavelet analysis is to see the
time-frequency distribution, i.e. how the power changes
over time. If you have different realizations of a time series
(drawn from the same distribution, but independent of each other),
then the WPS should have a similar structure, but the location of
individual regions of high power will be different for each WPS.
Averaging them together will then destroy the information of where
the regions of high power are located, and will return only the
average distribution of power versus scale (if this is all you are
interested in, then you are better off using Fourier analysis).
</BLOCKQUOTE>
<P>
<!------------------------------------------------------------------------>
<A NAME="bias"><HR></A>
<IMG SRC="images/wave_bias_faq.gif" ALIGN=right ALT="Wavelet bias">
<B>I notice that if I have a time series with
two sine waves of the same amplitude but different frequency,
then in the Fourier power spectrum they have the same power, but
in the global wavelet spectrum the higher-frequency peak is much smaller
than the lower-frequency peak.</B>
<BLOCKQUOTE>
That's correct, and it's due to the width of the
wavelet filter in Fourier space. At small wavelet scales (high
frequency), the wavelet is very broad in frequency, therefore any
peaks in the spectrum get smoothed out. At large wavelet scales, the
wavelet is more narrow in frequency, therefore the peaks are sharper
and have a larger amplitude.
<P>
If you want it in mathematical terms, the global wavelet spectrum
is an "efficient" estimator of the "true" power spectrum,
but it is also "biased". The bias means that there may
be a large difference between the global wavelet spectrum
and the "true" Fourier spectrum.
<P>
So, if you have sharp peaks in your power spectrum, don't
use the global wavelet spectrum to determine the relative
magnitude of your peaks.
</BLOCKQUOTE>
<BR CLEAR=all>
<P>
<!------------------------------------------------------------------------>
<A NAME="phase"><HR></A>
<B>How do I compute significance levels for the wavelet
phase difference of two time series?</B>
<BLOCKQUOTE>
The phase angle should be distributed "uniformly" between -180° and
+180°. You can't really do a <I>significance</I> test since there is
no ``preferred'' value (e.g. for wavelet power the preferred value is the
background spectrum). But what you can do is a ``confidence interval''
about your actual phase differences. If the 95% confidence interval
doesn't overlap zero, then you can be confident that the phase difference
is significant.
<P>
By the Central Limit Theorem, if <I>X</I><SUB>1</SUB>,
<I>X</I><SUB>2</SUB>,... are independent random variables with finite mean
<I>m</I> and variance <I>s</I><SUP>2</SUP>, then the average of
<I>X</I><SUB>1</SUB> + <I>X</I><SUB>2</SUB> + ... +
<I>X</I><SUB><I>n</I></SUB> is normally distributed with mean <I>m</I> and
variance <I>s</I><SUP>2</SUP>/<I>n</I>. The uniform distribution for the
interval [a,b] has <I>m</I>=0.5(a+b) and
<I>s</I><SUP>2</SUP>=(b-a)<SUP>2</SUP>/12. By the Central Limit Theorem,
the average of <I>n</I> phase angles (interval [-Pi,+Pi]) is normally
distributed with <I>m</I>=0 and <I>s</I><SUP>2</SUP>=4
Pi<SUP>2</SUP>/12<I>n</I>.
<P>
The 95% confidence interval for the average of <I>n</I> phase angles is
±1.96 <I>s</I> = ±1.96 (2 Pi) (12<I>n</I>)<SUP>-½</SUP>.
In degrees this is ±204° <I>n</I><SUP>-½</SUP>.
<P>
Despite the above discussion (given for background only),
for the wavelet phase difference it is difficult to determine
the "effective" number of variables <I>n</I> since they are <I>not</I>
independent. In this case it is better to use a Monte Carlo method where you
take your two signals and add random noise to each of them.
By repeating this say a 1000 times you can compute the 95% confidence
interval about your ``true'' phase difference.
</BLOCKQUOTE>
<P>
<!------------------------------------------------------------------------>
<A NAME="orthogonal"><HR></A>
<B>What's the difference between orthogonal, orthonormal, and nonorthogonal?
And, is the Morlet wavelet orthogonal?</B>
<BLOCKQUOTE>
To be orthonormal, a set of wavelet functions must be complete (i.e. you
have to have enough of them), and each must be orthogonal to
the others (i.e. no overlap or projection). The "normal" part just
means that each wavelet is normalized to have total energy of 1.0.
<P>
For the Morlet wavelet, there are two possibilities:
<OL>
<LI>the continuous wavelet transform: here you are sliding the wavelet
along your time series. Therefore, each wavelet overlaps the ones
next to it, which gives lots of redundant information. This is NOT orthogonal.
<LI>the discrete wavelet transform: here you skip along the time series,
only doing the wavelet transform where the wavelet no longer overlaps
the previous ones.
<UL>
<LI>For the Morlet wavelet, this is approximately orthogonal,
but not exactly. Due to the extended tails of the Gaussian, it is not
possible to construct a truly orthogonal set for the Morlet.
<LI>For other wavelets such as the Daubechies, it is possible to
construct an exactly orthogonal set.
</UL>
</OL>
<P>
So the moral is: if you want to do the continuous wavelet transform,
then you aren't worried about orthogonality, and you can use the Morlet.
If you want to do the discrete wavelet transform, don't use the Morlet.
</BLOCKQUOTE>
<!------------------------------------------------------------------------>
<A NAME="padding"><HR></A>
<B>Why pad with zeroes? If I have a time series with 511 points,
why would I want to
pad up to 1024 points (2<SUP>10</SUP>) rather than 512?</B>
<BLOCKQUOTE>
For the continuous wavelet transform there will be problems near the
edge of the time series, as the wavelet starts to run off the end.
To minimize these problems, the time series can be padded with zeroes.
This reduces the wavelet power near the edges, but it avoids wrap-around
effects.
<P>
It is useful to pad up to a power-of-two (such as 1024), as this
makes the Fourier transform (FFT) go faster.
In the above example with 511 points,
padding up to 512 points (i.e. adding one zero to the end) will make
the FFT faster, but will not help at all with the edge effects, especially
at the largest scales. Therefore, one should pad with 513 zeroes to make
a total of 1024 points.
</BLOCKQUOTE>
<!------------------------------------------------------------------------>
<A NAME="scale"><HR></A>
<B>What's the difference between period and scale?</B>
<BLOCKQUOTE>
The scale refers to the width of the wavelet. As the scale increases and
the wavelet gets wider, it includes more of the time series,
and the finer details get smeared out. The scale can be defined as
the distance between oscillations in the wavelet (e.g. for the Morlet),
or it can be some average width of the entire wavelet
(e.g. for the Marr or Mexican hat).
<P>
The period (or inverse frequency) is the approximate Fourier
period that corresponds to the oscillations within the wavelet.
For all wavelets, there is a one-to-one relationship
between the scale and period. The relationship can be derived by
finding the wavelet transform of a pure cosine wave with
a known Fourier period, and then computing the scale at which the
wavelet power spectrum reaches its maximum.
<P>
For some wavelets the period has
more meaning than others. For the Morlet, which has several smooth
oscillations, the period is a well-defined quantity which measures
the approximate Fourier period of the signal. For the Daubechies, which
has irregularly-spaced oscillations, the period has less meaning and
should probably be ignored.
</BLOCKQUOTE>
<!------------------------------------------------------------------------>
<A NAME="significance"><HR></A>
<B>Does the 5% significance level mean anything for the wavelet power
spectrum, especially when nearby points in the
spectrum are highly correlated?</B>
<BLOCKQUOTE>
Just like any significance test, the 5% significance level
(95% confidence level) implies that for a random time series,
5% of the points will be
above that threshold just by chance. Therefore, the 5% contours on a
wavelet plot must be interpreted carefully.
<P>
You need to look at:
<UL>
<LI>how large are the 5% regions compared to that expected by chance?
<LI>are the 5% regions distributed randomly or with some pattern?
</UL>
Both of these are subjective
measures. In Fourier analysis one has the same problem: do you have a
single peak that barely goes above the 5% level (in which case it
could be spurious), or do you have a broad peak that is well above the
significance level?
<P>
The following approach might be helpful:
<OL>
<LI>Look at your time series with Fourier analysis, to see if there
are any interesting peaks (you may already know this without having to
do the Fourier).
<LI>Look at the wavelet power spectrum, and concentrate your attention
within the scale range where you have peaks. Look for any signs of
"nonstationarity". There are two main things to look for:<BR>
    <I>Amplitude modulation:</I> Is the wavelet power clumped together during
certain intervals?<BR>
    <I>Frequency modulation:</I> Does the period change with time?<BR>
The 5% regions
will then help you determine whether this is a significant result or
not.
</OL>
</BLOCKQUOTE>
<P>
<HR>
 <P>
<A HREF="/research/wavelets/">back to Wavelets</A>
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