Introduction to Wavelet
A Tutorial
S
S
D
A1
D2
A2
A3
D3
Joon Jae Lee
Dongseo University
TABLE OF CONTENT
Overview
Historical Development
Time vs Frequency Domain Analysis
Fourier Analysis
Fourier vs Wavelet Transforms
Wavelet Analysis
Tools and Software
Typical Applications
Summary
References
OVERVIEW
Wavelet
A small wave
Wavelet Transforms
Convert a signal into a series of wavelets
Provide a way for analyzing waveforms, bounded in both
frequency and duration
Allow signals to be stored more efficiently than by Fourier
transform
Be able to better approximate real-world signals
Well-suited for approximating data with sharp discontinuities
The Forest & the Trees
Notice gross features with a large "window
Notice small features with a small "window
DEVELOPMENT IN HISTORY
Pre-1930
Joseph Fourier (1807) with his theories of frequency
analysis
The 1930s
Using scale-varying basis functions; computing the energy
of a function
1960-1980
Guido Weiss and Ronald R. Coifman; Grossman and Morlet
Post-1980
Stephane Mallat; Y. Meyer; Ingrid Daubechies; wavelet
applications today
PRE-1930
Fourier Synthesis
Main branch leading to wavelets
By Joseph Fourier (born in France,
1768-1830) with frequency analysis
theories (1807)
From the Notion of Frequency
Analysis to Scale Analysis
For any 2 periodical function f x :
f x a0 ak cos kx bk sin kx
k 1
1 2
a
f x dx
Analyzing f(x) by creating mathematical 0
0
2
structures that vary in scale
1 2
Construct a function, shift it by some
a
k
0 f x cos kx dx
amount, change its scale, apply that
structure in approximating a signal
Repeat the procedure. Take that basic b 1 2 f x sin kx dx
k
structure, shift it, and scale it again.
0
Apply it to the same signal to get a new
approximation
Haar Wavelet
The first mention of wavelets appeared
in an appendix to the thesis of A. Haar
(1909)
With compact support, vanishes
outside of a finite interval
Not continuously differentiable
THE 1930s
Finding by the 1930s Physicist Paul Levy
Haar basis function is superior to the Fourier
basis functions for studying small complicated
details in the Brownian motion
Energy of a Function by Littlewood, Paley,
and Stein
Different results were produced if the energy
was concentrated around a few points or
distributed over a larger interval
2
1 2
Energy f x dx
2 0
1960-1980
Created a Simplest Elements of a Function Space,
Called Atoms
By the mathematicians Guido Weiss and Ronald R.
Coifman
With the goal of finding the atoms for a common function
Using Wavelets for Numerical Image Processing
David Marr developed an effective algorithm using a
function varying in scale in the early 1980s
Defined Wavelets in the Context of Quantum
Physics
By Grossman and Morlet in 1980
POST-1980
An Additional Jump-start By Mallat
In 1985, Stephane Mallat discovered some
relationships between quadrature mirror filters,
pyramid algorithms, and orthonormal wavelet
bases
Y. Meyers First Non-trivial Wavelets
Be continuously differentiable
Do not have compact support
Ingrid Daubechies Orthonormal Basis
Functions
Based on Mallat's work
Perhaps the most elegant, and the cornerstone of
wavelet applications today
MATHEMATICAL
TRANSFORMATION
Why
To obtain a further information from the signal
that is not readily available in the raw signal.
Raw Signal
Normally the time-domain signal
Processed Signal
A signal that has been "transformed" by any of the
available mathematical transformations
Fourier Transformation
The most popular transformation
TIME-DOMAIN SIGNAL
0.5
0.5
0
-0.5
Magnitude
-1
20 Hz
Magnitude
0.5
Time
-1
0.5
0
-0.5
0
0.5
Time
0.5
Time
-1
10 Hz
-0.5
Magnitude
2 Hz
Magnitude
The Independent Variable is Time
The Dependent Variable is the Amplitude
Most of the Information is Hidden in the Frequency
Content
2 Hz +
10 Hz +
20Hz
0
-2
-4
0.5
Time
FREQUENCY TRANSFORMS
Why Frequency Information is Needed
Be able to see any information that is not
obvious in time-domain
Types of Frequency Transformation
Fourier Transform, Hilbert Transform, Shorttime Fourier Transform, Wigner
Distributions, the Radon Transform, the
Wavelet Transform
FREQUENCY ANALYSIS
Frequency Spectrum
Be basically the frequency components (spectral
components) of that signal
Show what frequencies exists in the signal
Fourier Transform (FT)
One way to find the frequency content
Tells how much of each frequency exists in a signal
N 1
X k 1 x n 1 W
n 0
N 1
kn
N
1
x n 1 X k 1 WNkn
N k 0
wN e
2
j
X f x t e 2 jft dt
x t
2 jft
X
f
e
df
STATIONARITY OF SIGNAL (1)
Stationary Signal
Signals with frequency content unchanged
in time
All frequency components exist at all times
Non-stationary Signal
Frequency changes in time
One example: the Chirp Signal
STATIONARITY OF SIGNAL (2)
3
600
500
Magnitude
Stationary
Magnitude
2 Hz + 10 Hz + 20Hz
400
300
-1
200
-2
100
-3
0.2
0.4
Time
0.6
0.8
Occur at all times
10
15
20
Frequency (Hz)
25
Do not appear at all times
250
0.8
0.6
Magnitude
NonStationary
Magnitude
0.0-0.4: 2 Hz +
0.4-0.7: 10 Hz +
0.7-1.0: 20Hz
0.4
0.2
0
-0.2
200
150
100
-0.4
-0.6
50
-0.8
-1
0.5
Time
10
15
Frequency (Hz)
20
25
CHIRP SIGNALS
Frequency: 2 Hz to 20 Hz
Different in Time Domain
150
0.8
0.8
0.6
0.6
0
-0.2
0.4
0.2
0
-0.6
-0.8
-0.8
0
0.5
Time
50
-0.4
-0.6
-1
100
-0.2
50
-0.4
150
Magnitude
0.2
100
Magnitude
0.4
Magnitude
Magnitude
Frequency: 20 Hz to 2 Hz
10
15
20
Frequency (Hz)
25
-1
0.5
Time
10
15
20
Frequency (Hz)
Same in Frequency Domain
Atwhat
whattime
timethe
thefrequency
frequencycomponents
componentsoccur?
occur? FT
FTcan
cannot
nottell!
tell!
At
25
NOTHING MORE, NOTHING LESS
FT Only Gives what Frequency Components
Exist in the Signal
The Time and Frequency Information can
not be Seen at the Same Time
Time-frequency Representation of the
Signal is Needed
Most of Transportation Signals are Non-stationary.
(We need to know whether and also when an incident was happened.)
ONE EARLIER SOLUTION: SHORT-TIME FOURIER TRANSFORM (STFT)
SFORT TIME FOURIER
TRANSFORM (STFT)
Dennis Gabor (1946) Used STFT
To analyze only a small section of the signal at a
time -- a technique called Windowing the Signal.
The Segment of Signal is Assumed Stationary
A 3D transform
STFTX t , f x t * t t e j 2 ft dt
t
t : the window function
A function of time
and frequency
DRAWBACKS OF STFT
Unchanged Window
Dilemma of Resolution
Narrow window -> poor frequency resolution
Wide window -> poor time resolution
Heisenberg Uncertainty Principle
Cannot know what frequency exists at what time intervals
Via Narrow Window
The two figures were from Robi Poliker, 1994
Via Wide Window
MULTIRESOLUTION ANALYSIS
(MRA)
Wavelet Transform
An alternative approach to the short time Fourier
transform to overcome the resolution problem
Similar to STFT: signal is multiplied with a function
Multiresolution Analysis
Analyze the signal at different frequencies with different
resolutions
Good time resolution and poor frequency resolution at high
frequencies
Good frequency resolution and poor time resolution at low
frequencies
More suitable for short duration of higher frequency; and
longer duration of lower frequency components
ADVANTAGES OF WT OVER STFT
Width of the Window is Changed as
the Transform is Computed for
Every Spectral Components
Altered Resolutions are Placed
PRINCIPLES OF WAELET
TRANSFORM
Split Up the Signal into a Bunch of Signals
Representing the Same Signal, but all
Corresponding to Different Frequency Bands
Only Providing What Frequency Bands Exists
at What Time Intervals
DEFINITION OF CONTINUOUS
WAVELET TRANSFORM
1
* t
CWT , s , s
x t
dt
s
s
Translation
Wavelet
(The location of
the window)
Scale
Mother Wavelet
Small wave
Means the window function is of finite length
Mother Wavelet
A prototype for generating the other window
functions
All the used windows are its dilated or compressed
and shifted versions
SCALE
Scale
S>1: dilate the signal
S<1: compress the signal
Low Frequency -> High Scale -> Non-detailed
Global View of Signal -> Span Entire Signal
High Frequency -> Low Scale -> Detailed
View Last in Short Time
Only Limited Interval of Scales is Necessary
COMPUTATION OF CWT
CWTx , s x , s
1
s
t
dt
s
*
x t
Step 1: The wavelet is placed at the beginning of the
signal, and set s=1 (the most compressed wavelet);
Step 2: The wavelet function at scale 1 is
multiplied by the signal, and integrated over all
times; then multiplied by 1 s ;
Step 3: Shift the wavelet to t= , and get the
transform value at t= and s=1;
Step 4: Repeat the procedure until the wavelet
reaches the end of the signal;
Step 5: Scale s is increased by a sufficiently small
value, the above procedure is repeated for all s;
Step 6: Each computation for a given s fills the
single row of the time-scale plane;
Step 7: CWT is obtained if all s are calculated.
RESOLUTION OF TIME &
FREQUENCY
Better time
resolution;
Poor
frequency
resolution
Frequency
Better
frequency
resolution;
Poor time
resolution
Time
Each box represents a equal portion
Resolution in STFT is selected once for entire
COMPARSION OF
TRANSFORMATIONS
From http://www.cerm.unifi.it/EUcourse2001/Gunther_lecturenotes.pdf, p.10
MATHEMATICAL EXPLAINATION
1
* t
CWT , s , s
x t
dt
s
s
X T ,s t dt
,s t
1 t
s s
CWT can be regarded as the inner product
of the signal with a basis function t
,s
DISCRETIZATION OF CWT
It is Necessary to Sample the TimeFrequency (scale) Plane.
At High Scale s (Lower Frequency f ), the
Sampling Rate N can be Decreased.
The Scale Parameter s is Normally
Discretized on a Logarithmic Grid.
The most Common Value is 2.
N 2 s1 s2 N1 f1 f 2 N1
S
N
2
4
32 16
8
8
EFFECTIVE & FAST DWT
The Discretized CWT is not a True Discrete
Transform
Discrete Wavelet Transform (DWT)
Provides sufficient information both for analysis
and synthesis
Reduce the computation time sufficiently
Easier to implement
Analyze the signal at different frequency bands
S
S
with different resolutions
A
Decompose the signal into a coarse
approximation and detail information
1
D2
A2
A3
D3
D1
SUBBABD CODING ALGORITHM
Halves the Time Resolution
Only half number of samples resulted
Doubles the Frequency Resolution
The spanned frequency band halved
0-1000 Hz
X[n]5
12
Filter 1
256
S
S
D1
A1
D2
A2
A3
D3
A1
256
Filter 2
128
D1: 500-1000 Hz
128
Filter 3
A2
64
D2: 250-500 Hz
64
D3: 125-250 Hz
A3: 0-125 Hz
DECOMPOSING NONSTATIONARY SIGNALS (1)
fL
Signal:
0.0-0.4: 20 Hz
0.4-0.7: 10 Hz
0.7-1.0: 2 Hz
fH
Wavelet: db4
Level: 6
DECOMPOSING NONSTATIONARY SIGNALS (2)
fL
Signal:
0.0-0.4: 2 Hz
0.4-0.7: 10 Hz
0.7-1.0: 20Hz
fH
Wavelet: db4
Level: 6
RECONSTRUCTION (1)
What
How those components can be assembled back into
the original signal without loss of information?
A Process After decomposition or analysis.
Also called synthesis
How
Reconstruct the signal from the wavelet
coefficients
Where wavelet analysis involves filtering and
downsampling, the wavelet reconstruction process
consists of upsampling and filtering
RECONSTRUCTION (2)
Lengthening a signal component by
inserting zeros between samples
(upsampling)
MATLAB Commands: idwt and waverec;
idwt2 and waverec2.
WAVELET BASES
Time
domain
Frequency
domain
-1
j
Wavelet Basis Functions: Morlet (0 frequency) : 4 e 0 e
2 m i m m!
Paul m order : DOG
1 i m1
2m !
DOG m devivative :
Derivative Of a Gaussian
M=2 is the Marr or Mexican hat wavelet
- 1 m1
d m 2 2
e
m
d
1
m
2
WAVELET FAMILY PROPERTIES
WAVELET SOFTWARE
A Lot of Toolboxes and Software have
been Developed
One of the Most Popular Ones is the
MATLAB Wavelet Toolbox
http://www.mathworks.com/access/helpdesk/help/toolbox/wavelet/wavelet.html
GUI VERSION IN MATLAB
Graphical User
Interfaces
From the MATLAB
prompt, type
wavemenu, the
Wavelet Toolbox
Main Menu
appears
OTHER SOFTWARE SOURCES
WaveLib [http://www-sim.int-evry.fr/~bourges/WaveLib.html]
EPIC [http://www.cis.upenn.edu/~eero/epic.html]
Imager Wavelet Library
[http://www.cs.ubc.ca/nest/imager/contributions/bobl/wvlt/download/]
Mathematica wavelet programs [http://timna.Mines.EDU/wavelets/]
Morletpackage [ftp://ftp.nosc.mil/pub/Shensa/]
p-wavelets [ftp://pandemonium.physics.missouri.edu/pub/wavelets/]
WaveLab [http://playfair.Stanford.EDU/~wavelab/]
Rice Wavelet Tools [http://jazz.rice.edu/RWT/]
Uvi_Wave Software [http://www.tsc.uvigo.es/~wavelets/uvi_wave.html]
WAVBOX [ftp://simplicity.stanford.edu/pub/taswell/]
Wavecompress [ftp://ftp.nosc.mil/pub/Shensa/]
WaveThresh[http://www.stats.bris.ac.uk/pub/software/wavethresh/Wave
Thresh.html]
WPLIB [ftp://pascal.math.yale.edu/pub/wavelets/software/wplib/]
W-Transform Matlab Toolbox [ftp://info.mcs.anl.gov/pub/W-transform/]
XWPL [ftp://pascal.math.yale.edu/pub/wavelets/software/xwpl/]
WAVELET APPLICATIONS
Typical Application Fields
Astronomy, acoustics, nuclear engineering, subband coding, signal and image processing,
neurophysiology, music, magnetic resonance
imaging, speech discrimination, optics, fractals,
turbulence, earthquake-prediction, radar, human
vision, and pure mathematics applications
Sample Applications
Identifying pure frequencies
De-noising signals
Detecting discontinuities and breakdown points
Detecting self-similarity
Compressing images
DE-NOISING SIGNALS
Highest
Frequencies
Appear at the Start
of The Original
Signal
Approximations
Appear Less and
Less Noisy
Also Lose
Progressively More
High-frequency
Information.
In A5, About the
First 20% of the
Signal is Truncated
ANOTHER DE-NOISING
DETECTING DISCONTINUITIES
AND BREAKDOWN POINTS
The Discontinuous
Signal Consists of a
Slow Sine Wave
Abruptly Followed by
a Medium Sine Wave.
The 1st and 2nd Level
Details (D1 and D2)
Show the
Discontinuity Most
Clearly
Things to be
Detected
The site of the
change
The type of change
(a rupture of the
signal, or an abrupt
change in its first or
second derivative)
The amplitude of
the change
Discontinuity
Points
DETECTING SELF-SIMILARITY
Purpose
How analysis by wavelets
can detect a self-similar, or
fractal, signal.
The signal here is the Koch
curve -- a synthetic signal
that is built recursively
Analysis
If a signal is similar to
itself at different scales,
then the "resemblance
index" or wavelet
coefficients also will be
similar at different scales.
In the coefficients plot,
which shows scale on the
vertical axis, this selfsimilarity generates a
characteristic pattern.
COMPRESSING IMAGES
Fingerprints
FBI maintains a large database
of fingerprints about 30
million sets of them.
The cost of storing all this data
runs to hundreds of millions of
dollars.
Results
Values under the threshold are
forced to zero, achieving about
42% zeros while retaining
almost all (99.96%) the energy of
the original image.
By turning to wavelets, the FBI
has achieved a 15:1 compression
ratio
better than the more traditional
JPEG compression
IDENTIFYING PURE
FREQUENCIES
Purpose
Resolving a signal into constituent
sinusoids of different frequencies
The signal is a sum of three pure
sine waves
Analysis
D1 contains signal components
whose period is between 1 and 2.
Zooming in on detail D1 reveals that
each "belly" is composed of 10
oscillations.
D3 and D4 contain the medium sine
frequencies.
There is a breakdown between
approximations A3 and A4 -> The
medium frequency been subtracted.
Approximations A1 to A3 be used to
estimate the medium sine.
Zooming in on A1 reveals a period of
around 20.
SUMMARY
Historical Background Introduced
Frequency Domain Analysis Help to See any Information that is
not Obvious in Time-domain
Traditional Fourier Transform (FT) cannot Tell where a
Frequency Starts and Ends
Short-Term Fourier Transform (STFT) Uses Unchanged Windows,
cannot Solve the Resolution Problem
Continuous Wavelet Transform (CWT), Uses Wavelets as Windows
with Altered Frequency and Time Resolutions
Discrete Wavelet Transform (DWT) is more Effective and Faster
Many Wavelet Families have been Developed with Different
Properties
A lot of Software are available, which Enable more Developments
and Applications of Wavelet
Wavelet Transform can be used in many Fields including
Mathematics, Science, Engineering, Astronomy,
This Tutorial does not Cover all the Areas of Wavelet
The theories and applications of wavelet is still in developing
REFERENCES
Mathworks, Inc. Matlab Toolbox
http://www.mathworks.com/access/helpdesk/help/toolbox/wavelet/wavelet.html
Robi Polikar, The Wavelet Tutorial, http://users.rowan.edu/~polikar/WAVELETS/WTpart1.html
Robi Polikar, Multiresolution Wavelet Analysis of Event Related Potentials for the Detection of Alzheimer's
Disease, Iowa State University, 06/06/1995
Amara Graps, An Introduction to Wavelets, IEEE Computational Sciences and Engineering, Vol. 2, No 2,
Summer 1995, pp 50-61.
Resonance Publications, Inc. Wavelets. http://www.resonancepub.com/wavelets.htm
R. Crandall, Projects in Scientific Computation, Springer-Verlag, New York, 1994, pp. 197-198, 211-212.
Y. Meyer, Wavelets: Algorithms and Applications, Society for Industrial and Applied Mathematics,
Philadelphia, 1993, pp. 13-31, 101-105.
G. Kaiser, A Friendly Guide to Wavelets, Birkhauser, Boston, 1994, pp. 44-45.
W. Press et al., Numerical Recipes in Fortran, Cambridge University Press, New York, 1992, pp. 498-499, 584602.
M. Vetterli and C. Herley, "Wavelets and Filter Banks: Theory and Design," IEEE Transactions on Signal
Processing, Vol. 40, 1992, pp. 2207-2232.
I. Daubechies, "Orthonormal Bases of Compactly Supported Wavelets," Comm. Pure Appl. Math., Vol 41,
1988, pp. 906-966.
V. Wickerhauser, Adapted Wavelet Analysis from Theory to Software, AK Peters, Boston, 1994, pp. 213-214,
237, 273-274, 387.
M.A. Cody, "The Wavelet Packet Transform," Dr. Dobb's Journal, Vol 19, Apr. 1994, pp. 44-46, 50-54.
J. Bradley, C. Brislawn, and T. Hopper, "The FBI Wavelet/Scalar Quantization Standard for Gray-scale
Fingerprint Image Compression," Tech. Report LA-UR-93-1659, Los Alamos Nat'l Lab, Los Alamos, N.M. 1993.
D. Donoho, "Nonlinear Wavelet Methods for Recovery of Signals, Densities, and Spectra from Indirect and
Noisy Data," Different Perspectives on Wavelets, Proceeding of Symposia in Applied Mathematics, Vol 47, I.
Daubechies ed. Amer. Math. Soc., Providence, R.I., 1993, pp. 173-205.
B. Vidakovic and P. Muller, "Wavelets for Kids," 1994, unpublished. Part One, and Part Two.
J. Scargle et al., "The Quasi-Periodic Oscillations and Very Low Frequency Noise of Scorpius X-1 as Transient
Chaos: A Dripping Handrail?," Astrophysical Journal, Vol. 411, 1993, L91-L94.
M.V. Wickerhauser, "Acoustic Signal Compression with Wave Packets," 1989. Available by TeXing this TeX
Paper.
Questions ?
