Wavelet Transform

1
 f ,   L2 ( R) a, b  R a  0

Definition of The Continuous Wavelet Transform

CWT

The continuous-time wavelet transform (CWT)

of f(x) with respect to a wavelet (x):


W (a, b)  W [ f ]( a, b)   a ,b f   a ,b ( x) f ( x)dx


 x b 
 a ,b ( x )  | a | 1 / 2
 
 a 

W [ f ]
f (x)
W [ f ](a, b)
L2(R)  (x) 2
 Mother Wavelet
Dilation / Translation

 Mother Wavelet
 x b   1,0 ( x)   ( x)
 a ,b ( x )  | a | 1 / 2
  a Dilation Scale
 a  b Translation
 

  a,b ( x) dx   ( x) dx
2 2

 

 
1/ 2  x b
W (a, b)  W [ f ]( a, b)   a ,b f   a ,b ( x) f ( x)dx  a  a  f ( x)dx


3
 Properties of a Basic Wavelet

  L2(R) is called a Basic Wavelet

if the following admissibility condition is satisfied:
Admissibility condition.

 ( )
2


Necessary condition to obtain the inverse
C  d 0  C   from the CWT by the basic Wavelet .

 Sufficient, but not a necessary condition
to obtain the inverse by general Wavelet.

1.  ˆ ( x)  L2 ( R)
x ( x), x Oscillation (Wave)
 ( x)dx  0



2.  Finite energy (Let)
L ( R)  { f : R  C |  | f ( x) | dx  }
2 2

  ( x) dx  
2 fast decay


 Oscillation + fast decay4 =

Wave + let = Wavelet
 Haar Wavelet
Dilation / Translation

Haar

 
1  x b
 1 0 x
2  a ,b ( x)  | a |1/ 2   
 1  a 
 ( x)   1, 0 ( x)    1  x  1
 2
 otherwise


1 1 1

2-1/2 2-1/2
1 4 2 4 4

-1 -1 -1

 1,0 ( x)  2, 0 ( x)  2,1 ( x) 5
 Morlet Wavelet
Dilation / Translation

Morlet
 2   x b
 ( x)  e  x cos   x   a ,b ( x )  | a | 1 / 2
 
2

 ln 2   a 

 1,0 ( x)  2, 0 ( x)  2,1 ( x)

6
 f ,  L2 ( R) a, b  R a  0
 x b
 a ,b ( x)  | a |1/ 2   
Forward / Inverse Transform [1/5]  a 

Forward 
W (a, b)  W [ f ]( a, b)   a ,b f   a ,b ( x) f ( x)dx


Inverse  
1 1
f ( x) 
C a
  
2
W (a, b) a ,b ( x)dadb


 ( )
2

C  


d 0C  Admissibility condition.

7
 f ,  L2 ( R) a, b  R a  0
 x b
 a ,b ( x)  | a |1/ 2   
Forward / Inverse Transform [2/5]  a 

Theorem
ˆ a ,b (u )  a
1/ 2
ˆ (au )
ae  j 2ub  ˆ a,b (u)  a
1/ 2 ˆ (au)
ae j 2ub 
cwt_001

 x b 
 ˆ a ,b (u )  F  a ,b ( x)   a ,b ( x)e  j 2ux dx 
1/ 2
Proof  a ,b ( x )  a 
 a  

1 / 2  x  b   j 2ux
a   a e dx



1 / 2

 j 2u ( as  b )
a  ( s ) e ads


1 / 2

 j 2ub  j 2aus
a ae  ( s ) e ds

1 / 2
a ˆ (au )
ae  j 2ub  8
 f ,  L2 ( R) a, b  R a  0
 x b
 a ,b ( x)  | a |1/ 2   
Forward / Inverse Transform [3/5]  a 

Theorem F[ f ( x) * g ( x)]  fˆ (u )  gˆ (u )
cwt_002

Proof

  
F [ f ( x) * g ( x)]  F   f ( s ) g ( s  t )ds     f ( s ) g ( s  t )ds  e  j 2ut dt x(t ) * y (t )   x( ) y(t   )d
    
  

  f (s)  g (s  t )e
 j 2ut
dtds x(t ) * y (t ) 

 x( ) y(  t )d
 
 

 f (s)  g ( x)e
 j 2u ( s  x )
 dxds
 
 

 
 j 2su j 2ux
 f ( s )e g ( x )e dxds
 
 

 ds  g ( x)e  j 2ux dx
 j 2us
 f ( s )e
 
9
 fˆ (u )  gˆ (u )
 f ,  L2 ( R) a, b  R a  0
 x b
 a ,b ( x)  | a |1/ 2   
Forward / Inverse Transform [4/5]  a 


Theorem F [W (a, b)]  F [W [ f ]( a, b)]   W (a, b)e  j 2ub db  fˆ (u ) *ˆ a ,0 (u )
cwt_003


Proof 
x(t ) * y (t )   x( ) y(t   )d


x(t ) * y (t )   x( ) y(  t )d


1 / 2  ( x  b)  0  1 / 2  xb
 a , 0 ( x  b)  a    a     a ,b ( x )
 a   a 

 
W (a, b)  W [ f ]( a, b)   a ,b f   f ( x)

a ,b ( x)dx   f ( x)

a ,0 ( x  b)dx  f (b) * a , 0 (b)



F W (a, b)   W (a, b)e  j 2ub db  

    W ( a , b )e
 j 2ub
db  fˆ (u )ˆ a , 0 (u )
   
F W (a, b)  F f (b) * a , 0 (b)  fˆ (u )ˆ a , 0 (u ) 10
 f ,  L2 ( R) a, b  R a  0
 x b
 a ,b ( x)  | a |1/ 2   
Forward / Inverse Transform [5/5]  a 

 
1 1
Theorem
cwt_004
f ( x) 
C a
  
2
W (a, b) a ,b ( x)dadb


Proof 1 / 2 ˆ (au )
db  fˆ (u ) *ˆ a , 0 (u )  a a  fˆ (u ) 
 W ( a , b )e
 j 2ub


2
 ˆ (au )

1
1/ 2  ˆ (au )e
W ( a, b)   j 2ub
db  fˆ (u )
a a 
a
2
   ˆ (au )

1
a 1/ 2  ˆ (au )e
W ( a, b)   j 2ub
dbda  fˆ (u )  da
 a  
a
2
   ˆ (au )

1 ˆ (au )e  j 2ub dadb  fˆ (u )
a W ( a, b)   d  fˆ (u )C
  
1/ 2
a 

   
1 1 1 1 1
fˆ (u )   a 1/ 2 a W (a, b)ˆ (au )e dadb  C
 j 2ub
a 1/ 2
W ( a, b) 1 / 2
ˆ a ,b (u )dadb
C    a a a
 
1 1
fˆ (u )  a 2
W (a, b)ˆ a ,b (u )dadb
C   
 
1 1
f ( x)  F [ fˆ (u )] 
1
a 2
W (a, b) a ,b ( x)dadb 11
C   
 Original signal f

Wavelet Transform
Morlet Wavelet - Stationary Signal

 2 
 ( x)  e  x cos   x 
2

 ln 2 

Wψ [f]

1
Wψ [f] 12
a2
 Original signal f

Wavelet Transform
Morlet Wavelet - Transient Signal

 2 
 ( x)  e  x cos   x 
2

 ln 2 

Wψ [f]

1
Wψ [f] 13
a2
 Original signal f

Wavelet Transform
Morlet Wavelet - Transient Signal

 2 
 ( x)  e  x cos   x 
2

 ln 2 

Wψ [f] Wψ [f]

1 1 1
Wψ [f] Wψ [f] Wψ [f]
a2 a2 a2 14
  2 
 ( x)  e  x cos   x 
2

 ln 2 
Wavelet Transform
Morlet Wavelet - Non-visible Oscillation [1/3]

Scalogram

0.01(x10)2
f1 (x)
f1 (x)  1000e

1
Wψ [f1 ]
a2

Scalogram

f 2 (x)  f1 (x) if x   ,9  11, 

f 2 (x)  
 f1 ( x)  5sin(2 x) if x  9,11

1
152 Wψ [f 2 ]
a
  2 
 ( x)  e  x cos   x 
2

 ln 2 
Wavelet Transform
Morlet Wavelet - Non-visible Oscillation [2/3]

Scalogram

f1 (x)

1
Wψ [f1 ] Wψ [f1 ]
a2

Scalogram

f 2 (x)

1
Wψ [f 2 ] 162 Wψ [f 2 ]
a
  2 
 ( x)  e  x cos   x 
2

 ln 2 
Wavelet Transform
Morlet Wavelet - Non-visible Oscillation [3/3]

Scalogram

f1 (x)

1
Wψ [f1 ] Wψ [f1 ]
a2

Scalogram

f 2 (x)

1
Wψ [f 2 ] 17 Wψ [f 2 ]
a2
 Original signal

Wavelet Transform
Haar Wavelet - Stationary Signal

 1
 1 if 0  x 
2
 1
 (x)    1 if  x 1
 2
0 otherwise


Wψ [f]

1
Wψ [f] 18
a2
 Original signal

Wavelet Transform
Haar Wavelet - Transient Signal

 1
 1 if 0  x 
2
 1
 (x)    1 if  x 1
 2
0 otherwise


Wψ [f] Wψ [f]

1 1 1
Wψ [f] Wψ [f] Wψ [f]
a2 a2 a2 19
 Original signal

Wavelet Transform
Mexican Hat - Stationary Signal

  x 2   x 2
2
1
 ( x)  2     e 2
2     

 1
Wψ [f]

1
Wψ [f] 20
a2
 Original signal

Wavelet Transform
Mexican Hat - Transient Signal

  x 2   x 2
2
1
 ( x)  2     e 2
2     

 1
Wψ [f] σ  1 Wψ [f] σ  0.5 Wψ [f] σ  0.25

1 1 1
Wψ [f] σ  1 Wψ [f] σ  0.5 Wψ [f] σ  0.25 21
a2 a2 a2
 f

Wavelet Transform
Morlet Wavelet
Fourier/Wavelet

F[f]
Fourier

Wψ [f] (a  1, b)

1
Wψ [f]
Wψ [f] (a  10, b) Wψ [f] a2

Wavelet  2 
 ( x)  e  x cos   x  22
2

Wψ [f] (a  20, b)  ln 2 
 f

Wavelet Transform
Morlet Wavelet
Fourier/Wavelet

F[f]
Fourier

1
Wψ [f] Wψ [f]
a2

 2 
 ( x)  e  x cos   x  23
2

Wavelet  ln 2 
 CWT - Correlation 1

Cross- Rx , y ( )   x(t ) y * (t   )dt  x(t ) y (t   )

correlation

CWT W (a, b)  f ( x)  a ,b ( x)  f ( x)  a ,0 ( x   )  R f , a , 0 ( )

CWT W(a,b) is the cross-correlation at lag (shift) 

between f(x) and the wavelet dilated to scale factor a.

24
 CWT - Correlation 2

| W (a, b) |2  || f ( x) ||2 ||  a,b ( x) ||2 | W (a, b) |2  || f ( x) ||2 ||  a ,b ( x) ||2


W(a,b) always exists  a ,b ( x)  f ( x)

The global maximum of |W(a,b)| occurs if there is a pair of values (a,b)

for which ab(t) = f(t).

Even if this equality does not exists, the global maximum of the real part of
W2(a,b) provides a measure of the fit between f(t) and the corresponding
ab(t) (se next page).
25
 CWT - Correlation 3

|| f ( x)  a,b ( x) ||2  || f ( x) ||2  ||  a,b ( x) ||2 2 Re[W (a, b)]

The global maximum of the real part of W2(a,b)

provides a measure of the fit between f(x) and the corresponding ab(x)

ab(x) closest to f(x) for that value of pair (a,b)

for which Re[W(a,b)] is a maximum.

|| f ( x)  a,b ( x) ||2  || f ( x) ||2  ||  a,b ( x) ||2 2 Re[W (a, b)]

-ab(x) closest to f(x) for that value of pair (a,b)

for which Re[W(a,b)] is a minimum.
26
 CWT - Localization both in time and frequency

The CWT offers position/time and frequency selectivity;

that is, it is able to localize events both in position/time and in frequency.

Time:
The segment of f(x) that influences the value of W(a,b) for any (a,b)
is that stretch of f(x) that coinsides with the interval over which ab(x)
has the bulk of its energy.
This windowing effect results in the position/time selectivity of the CWT.

Frequency:
The frequency selectivity of the CWT is explained using its interpretation
as a collection of linear, time-invariant filters with impulse responses
that are dilations of the mother wavelet reflected about the time axis
(se next page). 27
 CWT - Frequency - Filter interpretation


Convolution h(t ) * x(t )   h(t ) x(t   )d


CWT W (a, b)  f (b) * a*,0 (b)

CWT is the output of a filter with impulse response *ab(-b) and input f(b).

We have a continuum of filters parameterized by the scale factor a.

28
 CWT - Time and frequency localization 1

 
Time
 t  (t ) dt
2
   (t ) dt
2 2
(t t )
Center of mother wavelet 0
t0  
 t  


  (t ) dt   (t ) dt
2 2

 


Frequency 

   ( )
2
     ( ) dt
2
dt ( ) 2
Center of the Fourier transform 0
0  
  
of mother wavelet  

  ( ) dt   ( ) dt
2 2

 

29
 CWT - Time and frequency localization 2

Time t (a)  t a , 0 (a)  a t

1
Frequency  (a)   a , 0 (a)  t
a

Time-bandwidth product t (a) (a)  t   c 

1
is a constant 
t2

2
1 2
f (t ) e 2
2 
Gaussian function
gives the smallest
time - bandwidthproduct

30
 CWT - Time and frequency localization 3

Time t (a)  t a , 0 (a)  a t

1
Frequency  (a)   a , 0 (a)  t
a

Small a: CWT resolve events closely spaced in time.

Large a: CWT resolve events closely spaced in frequency.
CWT provides better frequency resolution
in the lower end of the frequency spectrum.

Wavelet a natural tool in the analysis of signals in which rapidly

varying high-frequency components are superimposed on slowly varying
low-frequency components (seismic signals, music compositions, …).31
CWT - Time and frequency localization 4

 a=1/2

a=1

a=2

Time-frequency cells for a,b(t)

32
 Filtering / Compression

Data compression
f (x) W [ f ]( a, b)
Remove low W-values

Lowpass-filtering Highpass-filtering

Replace W-values by 0 Replace W-values by 0

for low a-values for high a-values

33
 CWT - DWT

CWT

x b
W (a, b)  W [ f ]( a, b)   a ,b f   a ,b ( x) f ( x)dx  a ,b ( x)  | a |1/ 2   
  a 
 
1 1
a  ( )
 2
f ( x)  W (a, b) a ,b ( x)dadb
C   
2 C  


d 0C 

DWT
m
a  a0 a  2m Binary dilation
m
b  nb0 a0 a0  2 b0  1 b  n 2  m Dyadic translation
a0  21/ v v number of voices per octave
v pieces of  m, n are processed as one group, called a voice

 m,n ( x)  2m / 2 2m x  n Dyadic Wavelets 34

 Mexican Hat

 
2
2 x
x 
Ψ(x)  12π 2     e 2
2

  σ  

σ 1

35
 Rotation - Scaling
2 dim

cosθ  sin θ
Rotation R 
 sin θ cosθ 

Scaling s x 0
S
0 s y 

36
 Translation - Rotation - Scaling
3 dim

Translation 1 0 0 tx 
0 1 0 t y 
T
0 0 1 tz 
 
0 0 0 1
Rotation cosθ  sin θ 0 0
 sin θ cosθ 0 0
Rz   R(θ )  T 1(  x, y,  z)Rz(θ )T ( x, y, z )
 0 0 1 0
 
 0 0 0 1
Scaling s x 0 0 0
0 sy 0 0
S
0 0 sz 0
 
0 0 0 1
37
 Mexican Hat - 3 Dim

 
2
2 x
x 
Ψ(x)  12π 2     e 2σ
2

  σ  
σ 1

2  r  b P r  b  e 2 r b  P r b 
   
  1  T  
 T 
Ψ (r) 

1
a, b 2π a x a y  
 x    b x   a x 
r  b  a 
 y b y  a y 
cosθ  sin θ  1  P  R T AR
R   2 0  ax 1 ay  2
 sin θ cosθ  A   a x 
 0 1 
 a y 
2 38

End

39