The wavelet shrinkage is a signal denoising technique based on the idea of
thresholding the wavelet coefficients. Wavelet coefficients having small
absolute value are considered to encode mostly noise and very fine details
of the signal. In contrast, the important information is encoded by the
coefficients having large absolute value. Removing the small absolute value
coefficients and then reconstructing the signal should produce signal with
lesser amount of noise. The wavelet shrinkage approach can be summarized as
follows:
- Apply the wavelet transform to the signal.
- Estimate a threshold value.
- The so-called hard thresholding method zeros the coefficients that are
smaller than the threshold and leaves the other ones unchanged. In contrast,
the soft thresholding scales the remaining coefficients in order to form a
continuous distribution of the coefficients centered on zero.
- Reconstruct the signal (apply the inverse wavelet transform).
The biggest challenge in the wavelet shrinkage approach is finding an
appropriate threshold value. In this class, we use the universal threshold
T = σ sqrt(2*log(N)), where N is the length of time series
and σ is the estimate of standard deviation of the noise by the
so-called scaled median absolute deviation (MAD) computed from the high-pass
wavelet coefficients of the first level of the transform.