- Introduction
- Wavelets
- Algorithms
- Monte Carlo
- References

The first thing to consider is the shape of the wavelet. For decomposing the NINO3 SST data, we chose the Morlet wavelet because:

- it is commonly used,
- it's simple,
- it looks like a wave.

For the Morlet wavelet transform, where the mother wavelet is:

we must first choose the wavenumber

Our next choice is a set of scaling parameters *s*,
such that we adequately sample all the frequencies present in our
time series. We first choose the smallest resolvable scale,
*s*_{0}, as some multiple of our time resolution, *dt*.
For the NINO3 SST data, we have seasonal data, thus *dt* = 0.25 years.
The smallest wavelet we could possibly resolve is 2*dt*, thus
we choose *s*_{0} = 2*dt* = 0.5 years.
The larger scales (longer periods) are chosen as power-of-two multiples
of this smallest scale,

(3.1b) . . . . . . . . . .

The largest scale chosen should be less than 1/2 the length of the entire time series. The choice of scales for the NINO3 SST data is shown on the right-hand axis of Figure 3. In theory, if these scales are chosen wisely, then one can construct an orthogonal complete basis set. In reality, one usually over-samples the scales so as to provide information on freqencies in between the orthogonal scales. Thus, in Figure 3, the scales have been over-sampled by choosing 10 sub-scales within each scale.

(3.2) . . . . . . . . . .

To use this formula, the FT of the wavelet function should be known analytically. In addition, the wavelets must be normalized as:

(3.4) . . . . . . . . . .

Unlike the convolution, the FFT method allows the computation of
all *n* points simultaneously, and can be efficiently coded using
any standard FFT package.

The steps to compute the wavelet transform for a time series are thus:

- Choose a mother wavelet,
- Find the Fourier transform of the mother wavelet,
- Find the Fourier transform of the time series,
- Choose a minimum scale
*s*_{0}, and all other scales, - For each scale, do:
- Using Eqn. 3.4 (or whatever is appropriate for your mother wavelet), compute the daughter wavelet at that scale;
- Normalize the daughter wavelet by dividing by the square-root
of the total wavelet variance (the total of
(
*Psi*)^{2}should then be one, thus preserving the variance of the time series); - Multiply by the FT of your time series;
- Using Eqn. 3.2, inverse transform back to real space;

- Make a contour plot.

One problem with performing the wavelet transform in Fourier space is that this assumes the time series is periodic. The result is that signals in the wavelet transform at one end of the time series will get wrapped around to the other end. This effect is more pronouced at larger scales as the influence of each wavelet extends further in time. One way to avoid this is to pad one end of the time series with zeroes. A clever method is to pad with enough zeroes to make the length of the time series equal to a power of two, and thereby speed up the FFT as well.

back to Wavelet Home Page