Fofoula Et Al - Wavelet Analysis For Geophysical Applications PDF

WAVELET ANALYSIS FOR
GEOPHYSICAL APPLICATIONS
Praveen Kumar Efi Foufoula-Georgiou

HydrosystemsLaboratory St. Anthony Falls Laboratory
Departmentof Civil Engineering Departmentof Civil Engineering
Universityof Illinois, Urbana Universityof Minnesotaat Minneapolis-St.Paul
Abstract. Wavelettransforms originatedin geophysicssensedhydrologicfluxes,atmosphericturbulence,can-

in the early 1980s for the analysisof seismicsignals. opycover,land surfacetopography,seafloorbathymetry,
Sincethen, significantmathematicaladvancesin wavelet and oceanwindwaves.It is anticipatedthat in the near
theory have enableda suite of applicationsin diverse future,significantfurther advancesin understanding and
fields.In geophysicsthe powerof waveletsfor analysisof modelinggeophysicalprocesses will result from the use
nonstationaryprocesses that containmultiscalefeatures, of wavelet analysis.In this paper we review the basic
detectionof singularities,analysisof transientphenom- propertiesof waveletsthat make them suchan attractive
ena, fractal and multifractalprocesses, and signalcom- and powerfultool for geophysicalapplications.We dis-
pressionis now being exploitedfor the studyof several cusscontinuous,
discrete,orthogonalwaveletsandwavelet
processesincludingspace-timeprecipitation,remotely packetsandpresentapplications to geophysical
processes.
CONTENTS and mathematicscommunitywith their versatileappli-

cability.The followingeditorial quote from Daubechies
Introduction ......................................... 385 et al. [1992, p. 529] givesus insightinto the extent to
Time-frequencyand time-scaleanalysis............ 387 whichwaveletshave becomepervasivein variousscien-
Conceptof frequencyand scale.................. 387 tific and engineeringresearch:
Time-frequenCyanalysis.......................... 387
Wavelet transformsand time-scaleanalysis ...... 389 Wavelet transformhas providednot only a wealth of new
mathematicalresults,but alsoa commonlanguageand rallying
Time-frequencylocalizationusingwavelets...... 391 call for researchers
in a remarkablywide varietyof fields:
Discrete and orthogonalwavelet transforms....... 392 mathematiciansworking in harmonic analysisbecauseof the
Discrete wavelet transform ....................... 392 specialpropertiesof waveletbases;mathematicalphysicists
Orthogonalwavelet transform.................... 393 becauseof the implicationsfor time-frequencyor phase-space
Multiresolutionanalysis
........................... 396 analysisand relationshipsto conceptsof renormalization;dig-
ital signal processorsbecause of connectionswith multirate
Data analysisusingwavelettransforms............. 397 filtering,quadraturemirror filters,and subbandcoding;image
Exploratorydata analysis......................... 397 processors becauseof applicationsin pyramidalimage repre-
Identification of scales of variation ............... 397 sentationand compression; researchers in computervisionwho
Self-similarand fractal processes ................. 400 haveused"scale-space" for sometime; researchersin stochastic
processesinterested in self-similarprocesses,1If noise, and
Nonstationaryprocesses.......................... 400
fractals;speechprocessorsinterestedin efficient representa-
Numerical solutionof partial differential tion, event extractionand mimickingthe human auditorysys-
equations ....................................... 401 tem. And the list goeson.
Wavelet packetsand time-frequency-scale analysis 401
Two-dimensionalapplications ....................... 404 Withingeophysics,
therehavebeennumerous
applica-
On the choice of wavelets ........................... 406 tions already,suchas in atmosphericturbulencefor the
Summaryand conclusions
........................... 408 detection of energy cascadesand coherent structures;
Appendix:
Computational
aspects
of orthogonal space-timerainfall for identification of scale-invariant
w.avelet transforms .............................. 409 symmetries;remotely sensedhydrometeorological and
geologicalvariablesfor data compression, noisereduc-
tion, and feature extraction; ocean wind waves for de-
1. INTRODUCTION tection of wave breakingcharacteristics
and phaserela-
tionsduringwindwavegrowth;andseafloor
bathymetry
Wavelet transformsare relatively recent develop- for identificationof the locationof ridge-parallelfault-
ments that have fascinatedthe scientific,engineering, ing, among others (see Foufoula-Georgiouand Kumar
Copyright1997 by the American GeophysicalUnion. Reviewsof Geophysics,35, 4 / November 1997

pages 385-412
8755-1209/97/9 7 RG-00427515.00 Paper number 97RG00427
385
386 Kumarand Foufoula-Georgiou:WAVELETANALYSIS 35, 4 / REVIEWSOF GEOPHYSICS
[1994]for a collectionof paperson waveletapplication Thereforethe purposeof the analysisis usuallya guide
in geophysics).The reason behind the versatilityand to the selection of a particular representation.For a
attractivenessof waveletsfor suchdiverseapplications particulargeophysicalapplicationone has to determine
liesin their uniqueproperties,and it is theseproperties whether wavelet representationis needed in the first
that we seek to understandin this paper. place and then to selectthe bestwaveletrepresentation
The wavelettransformoriginatedin geophysics in the for the problem at hand. This requires a good under-
early 1980sfor the analysisof seismicsignals[Morletet standingof the propertiesof waveletsand how each
al., 1982a,b] andwaslater formalizedby Grossmattn and property could be used for extractingcertain informa-
Morlet [1984] and Goupillaud et al. [1984]. Wavelets tion from a process.
found a nurturingatmosphereand the initial impetusin For example,Fourier transformsprovide a powerful
the signalprocessingand mathematicscommunity,and tool for the analysisof stationaryprocesses becausefor
within it, significanttheoreticaland application-oriented such processesthe Fourier componentsare uncorre-
developmentstook place during the last 10 yearsor so. lated. Wavelet transformsprovide us with a similar at-
Important advanceswere made by Meyer [1992, and tractive property for a rich classof signals,namely,
referencestherein],Mallat [1989a,b], Daubechies [1988, fractal or statisticallyself-similarsignals.For instance,
1992], Chui [1992a], Wornell [1995], and Holschneider althoughfractional Brownian motion is a nonstationary
[1995], among others. These advancesthen impacted and infinitelycorrelatedprocess,its waveletcoefficients
other areas of study and particularly applicationsin are stationaryand practicallyuncorrelated.
geophysics for processunderstanding. The developments One of the most important propertiesof wavelets,as
and applications still continueat a veryrapid pace. remarked earlier, is time-frequency localization. This
Waveletsare essentiallyusedin two wayswhen study- property is extensivelydiscussedin section2. We then
inggeophysical processes or signals:(1) asan integration describethe discreteand orthogonalwavelettransform
kernel for analysisto extract information about the in section3. We discussseveralexampleapplicationsof
processand (2) as a basisfor representationor charac- wavelettransformsin section4. Wavelet packetswhich
terization of the process.Evidently, in any analysisor offer a more flexible data-adaptivedecompositionof a
representationthe choiceof the kernel or basisfunction signalare discussedin section5. Since severalnatural
determines the nature of information that can be ex- phenomenaexhibit considerablespatialvariability,two-
tracted or representedabout the process.This leadsus dimensionalwavelet transformsare important for the
to the followingquestions:(1) What kind of information analysisof geophysicalfields and are studiedseparately
canwe extractusingwavelets,and(2) howcanwe obtaina in section 6. Finally, we discusssome implementation
representationor descriptionof a processusingwavelets? issuesrelated to the choiceof waveletsand their impact
The answerto the first questionlies in the important on analysisand inferencein section7. We concludewith
property of waveletscalled time-frequencylocalization. somerecommendationsfor and speculationsabout fur-
The advantageof analyzinga signal,with waveletsasthe ther applicationsof waveletsfor the studyof geophysical
analyzingkernels,is that it enablesone to studyfeatures processes.
of the signallocallywith a detail matchedto their scale, There are severalgood introductoryarticleson dif-
i.e., broad featureson a large scaleand fine featureson ferent aspectsof wavelets,for example,thoseby Mallat
smallscales.This propertyis especiallyusefulfor signals [1989a,b] andRioul and Vetterli[1991],and the articles
that are nonstationary,have short-livedtransient com- on turbulence,for example,byFarg [1992a]andFarg et
ponents,have featuresat different scales,or have singu- al. [1996].Also, considerableinsightcan be gainedfrom
larities. Therefore wavelets are apt to time-frequency the book reviews by Meyer [1993a] and Daubechies
and time-scaleanalysis. [1993]. Severalworks on waveletshave recently been
The answerto the secondquestionis basedon seeing publishedsuchas those by Meyer [1993b],Daubechies
waveletsas elementarybuildingblocksin a decomposi- [1992], Benedettoand Frazier [1993], Chui [1992a, b],
tion or series expansionakin to the familiar Fourier Ruskaiet al. [1992], Farg et al. [1993], Beylkinet al.
series.Thus a representationof the processusingwave- [1991], and Meyerand Roques[1993]. Also, two special
lets is providedby an infinite seriesexpansionof dilated journal issueson wavelets(IEEE Transactions on Signal
(or contracted) and translatedversionsof a mother Processing, 41(12), 402 pp., 1993, and Proceedings of the
wavelet,eachmultipliedby an appropriatecoefficient. IEEE, 84(4), 182 pp., 1996) includeinsightfulexposi-
The decisionas to which representation(expansion) tions on the history and theory of wavelets and their
to usefor a signal,for example,waveletexpansionversus applicationsto a variety of mathematical,engineering,
Fourier or splineexpansion,dependson the purposeof biomedical,and turbulenceproblems,as well as future
the analysis.Marr [1982, p. 21] remarksthat directionsin wavelet research and applications.Fou-
foula-Georgiouand Kumar [1994]presenta collectionof
any particular representationmakes certain information ex-
paperswhich usewavelet transformsexclusivelyfor the
plicit at the expenseof informationthat is pushedinto the
backgroundand may be quite hard to recover. This issueis analysisof geophysical processes. An excellentnonmath-
ematical overview on the various seed ideas in the devel-
important,becausehowinformationis represented cangreatly
affect the easewith which one can do different thingswith it. opmentof wavelettransformsis givenbyHubbard[1996].
35, 4 / REVIEWSOF GEOPHYSICS Kumarand Foufoula-Georgiou:
WAVELETANALYSIS 387
2. TIME-FREQUENCY AND TIME-SCALE that is, an oversampledversion of a function does not

ANALYSIS have more resolutionthan a criticallysampledversion.
Note that a continuousfunctionmay have infinite reso-
2.1. Conceptof Frequencyand Scale lution, as is the case with fractals, but for a discrete
The Fourier transformof a functionf(t) is givenby function its maximum resolutionis determinedby its
[Papoulis,1962] samplingrate.
Scaleand frequency(or wavelength)are independent
attributesandare relatedto eachotheronlythroughthe
(co)
=fof(t)e-i't
dt. (1) fact that scale provides an upper bound to the wave-
length, i.e., wavelengthis lessthan or equal to scale.
That is, a specificscale, for example, duration of a
The original function can be recoveredfrom the trans-
process, maycontainfrequencies from the smallestup to
form using
thosedictatedby the durationof the process.
f(t)
=ffoo.(to)e"t
dto. (2) 2.2. Time-Frequency Analysis
Although the Fourier transformprovidesuseful in-
formation about a signal, it is often not enough to
The parametertois the angularfrequencyof the periodic characterizesignalswhosefrequencycontentchangesin
function e-itt,andtherefore (to) is saidto representtime suchas precipitationand manyother geophysical
the frequencycontentof the functionf(t). In the form of processes. Figuresla-ld illustratethe inapplicabilityof
(2), f(t) is understoodto be representedas the "weight- Fouriertransformsfor the characterization of time-vary-
edsum"of thesimple waveforms eitt,wheretheweight ing signals.AlthoughFourier analysistells us that there
at a particular frequency toisgiven by(to). are two frequenciespresentin the signal,it is unable to
Frequency is a physicalattribute of a processor distinguishbetween the two signals:one with two fre-
signal.For example,the propagationcharacteristics of a quenciessuperimposedover its entire domain and the
mediumdependon the frequencyof the travelingwave: other with one frequencypresentin the first half of its
Whereas light is unable to passthrough aluminum,X domainandthe otherfrequencypresentoverthe second
rayscan.Unlike frequency,whichis a well-definedphys- half of its domain. To study such processes,we seek
ical quantity and measuredin cyclesper second(or transformsthat will enable us to obtain the frequency
equivalent),different notionsof scaleexist depending content of a process as a function of time, Such an
uponthe context.As explainedby Bloschland Sivapalan analysisis called time-frequencyanalysis.The goal of
[1995], in the contextof geophysicalapplications,scale time-frequency analysisis to expanda signalinto wave-
can be viewedfrom two perspectives, namely,"process formswhosetime-frequencypropertiesare adaptedto
scale" and "observation scale". Process scale is the scale the signal'slocal structure.The waveformsthat are used
that natural phenomenaexhibit and is beyondour con- as building blocks in the expansionare called time-
trol. Typically,this is characterizedin termsof (1) the frequencyatoms.
lifetime or duration,(2) the period, or (3) the correla- Wavelet transforms enable us to obtain orthonormal
tion length of the process.On the other hand, the basisexpansions of a signalusingtime-frequencyatoms
observationscaledependsupon howwe chooseto mea- calledwaveletsthat havegoodpropertiesof localization
sure the phenomena.Typically,this is characterizedin in time and frequencydomains.The basicidea can be
termsof (1) the spatialor temporalextentor coverage, understoodusinga time-frequencyplane that indicates
(2) the spacingbetweensamples,or (3) the integration the frequencycontent of a signal at every time (see
volume of a sample. In this paper, dependingon the Figure2). In anysuchdecomposition the time-frequency
context,the term scale refers to either processscale, plane is layered with cells, called Heisenbergcells,
describingthe lifetime or duration,or observationscale, whoseminimum area is determinedby the uncertainty
describingthe samplinginterval. principle. Heisenberg'suncertainty principle dictates
For bothcontinuousanddiscretelysampledprocesses that one cannotmeasurewith arbitrarilyhigh resolution
the "resolution" refers to the smallest size of a feature in both time and frequency.When we use the standard
that can be resolved, which means that resolution is basisin the time domain, that is, Dirac delta functions,
related to the frequencycontentof a functionor, more we canvery well localizethe processin the time domain
precisely,to the bandwidthof its spectrum[seeRioul, but not at all in the frequencydomain.This is schemat-
1993;VetterliandHerley, 1992] If a continuousfunction icallydepictedby tall thin boxesin Figure2a. In the case
f(t) hasa bandwidth toc (i.e.,f(co) = 0 for > of Fourier baseswe get exactlocalizationin frequency
then the smallestsizefeaturethat existsis of wavelength but none in time, which is depictedby long horizontal
T = 2T/CO c. If this function is sampled at a critical cellsin Figure2b. If we wereto applya movingwindow
(Nyquist)rate, then all informationabout the continu- to the signaland to take the Fourier transformat every
ous function is available in the discrete function. Sam- location in an attempt to localize the presenceof a
pling at a higher rate doesnot increasethe resolution; feature,we get a shorttime or windowedFourier trans-
388 KumarandFoufoula-Georgiou:
WAVELET
ANALYSIS 35 4 / REVIEWS
OF GEOPHYSICS
(a) (b)
i ! ......
-2 -1
-2 0 2 -2 0 2
time time
(c) (d)
Figure 1. Spectralandwaveletanalysis
10
0 10
0 ,}1
i,, of two signals.The first signal(Figure
la) consists of superpositionof two fre-
quencies(sin 10t and sin 20t), and the
10
-5 , 10
-5 second(Figure 2b) consistsof the same
two frequencies, eachappliedseparately
0 50 1oo 0 50 100 over half of the signalduration.Figures
angular
frequency angular
frequency lc and ld show the Fourier spectraof
the signals(i.e., [f(to)[2 versusto) for
(e) Figuresla and lb, respectively.
Figures
l e and If show the magnitudeof their
wavelet transforms,and Figures l g and
lh showthe phaseof their wavelettrans-
forms(usingMorletwavelet).Noticethe
instabilityin calculationof phaseat small
scales where the modulus of wavelet
transformsis very small.
-2 0 2 -2 o
time time
(h)
.::/'". ?::: *: .':ii::::i;-
$ .-. !' :i
;- Xi. -"
-2 0 2 -2 o
time time
form. This partitionsthe entire time-frequency plane resolvedin the time (physical)domain,but there is a
with rectangularcellsof the samesizeand aspectratio large uncertaintyassociated
with their frequencycon-
(Figure2c).Thewavelettransform isbasedon anoctave tent. This trade-off is an inherent limitation due to the
banddecomposition of thetime-frequency plane(Figure Heisenberg's
uncertainty
principle(seesection2.4).
2d). In this scheme,higherfrequencies can be well in all the abovecasesthe decompositionpattern of
localizedin time, but the uncertaintyin frequencylocal- the time-frequency plane, that is, layeringof cells,is
ization increasesas the frequencyincreases,which is predetermined by the choiceof the basisfunction.Note
reflected as taller, thinner cells with increase in fre- that the Heisenberguncertaintyprincipledictatesthe
quency.Consequently, the frequencyaxisis partitioned minimumareaof the cell andnot its shape.So to further
finelyonlynearlowfrequencies. The implicationof this improvetime-frequency analysis,we will want to layer
is that the larger-scale
featuresgetwell resolvedin the the time-frequencyplaneusingrectangular cellsof arbi-
frequencydomain,but thereis a largeuncertaintyasso- traryaspectratios,with areagreaterthanthe minimum
ciated with their location. On the other hand, the small- dictatedbytheuncertainty principle(seeFigure3). This
scalefeatures,such as sharp discontinuities,
get well canbe achieved usingwaveletpacketsby decoupling the
35, 4 / REVIEWSOF GEOPHYSICS Kumarand Foufoula-Georgiou'WAVELETANALYSIS 389
has the same shapefor all values of X. One may also

interpret the wavelet transformas a mathematicalmi-
croscope,wherethe magnificationis givenby 1/X and the
opticsare givenby the choiceof waveletq(t).
The wavelettransformas definedby (3) is calledthe
continuouswavelet transform (abbreviatedCWT) be-
cause the scale and time parameters X and t assume
continuousvalues.It providesa redundantrepresenta-
tion of a signal;that is, the CWT of a functionat scaleh
Time and location t can be obtained from the continuous
Standard basis Windowed Fourier basis wavelet transform of the same function at other scales
(a) (c) and locations. The wavelet transforms is a linear trans-
form; that is, the wavelet transform of the sum of two
signalsis the sum of the wavelet transformsof each
individualsignal.Also, the wavelettransformof a vector
function is a vector whose elements are the wavelet
transformsof the vector components.
The inverse wavelet transform is given by [Dau-
bechies,1992, equation2.4.4]
Time Time
f(t)= h-2Wf(h, dhdu, (s)
u)qJx.u(t)
Fourier basis Wavelet basis
(b) (d) whereC, is constant,
depending
on the choiceof the
wavelet. Equation (5) can be looked at as a way of
Figure 2. Schematicof time-frequencyplane decomposition reconstructingf(t)onceitswavelettransformWf(X, t) is
usingdifferentbases:(a) standardbasis,(b) Fourierbasis,(c) knownaswell asa wayto writef(t) asa superposition
of
windowedFourierbasis,and (d) waveletbasis. wavelets
The choiceof the waveletq(t) is neither uniquenor
arbitrary.The functionq(t) is a functionwith unit en-
scaleparameterfrom the frequencyparameter(seesec- ergy(i.e.,l(t)l 2 at - 1) chosen
so that it has(1)
tion 5 for further discussions
on waveletpackets).
2.3. WaveletTransforms and Time-ScaleAnalysis Time

The wavelettransformof a functionf(t) is definedas
the integraltransform
Wf(., t) = f(u)h,t(u
) du X>0, (3)
where
(4)
representsa family of functionscalledwavelets.Here X

is a scale parameter, t is a location parameter, and
qx,t(u)is the complexconjugate
of qx,t(u).Changing
the value of X has the effect of dilating (X > 1) or
contracting(X < 1) the functionq(t) (seeFigure4), and
changingt has the effect of analyzingthe functionf(t)
around different points t. When the scaleX increases,
the wavelet becomesmore spreadout and takes only
long time behaviorof f(t) into accountand vice versa.
Therefore the wavelet transform provides a flexible Signal
time-scalewindowthat narrowswhenfocusingon small-
scalefeaturesand widenson large-scalefeatures,anal- Figure 3. Schematicof time-frequencyplane decomposition
ogousto a zoomlens.It isimportantto notethatqx,u(t) usingwaveletpackets.
390 Kumarand Foufoula-Georgiou'WAVELETANALYSIS 35, 4 / REVIEWSOF GEOPHYSICS
Real part
0.5 .....................> - ........................

I -.- '.... __/'-'x- ,.," .::,....'..:../C%._
, I I
-3 -2 -1 0 1 2 3
x
Imaginary part
"---
....
...............
:
:...,
....., -'?x / \ : /'"" ""'". :
_0.rl ..'..-......-.:'.:.'
........ -1
I I
0
..':
I
1
....... 2 3
x
Spectrum
!
.
!
.
! .1'\ ! ! '
.
I '
.
I '\
o
-lO -8 -6 -4 -2 o 2 4 6 8 lO
frequency
Figure 4. Real and imaginarypartsof the Morlet wavelet(too = 5) and its Fourier spectrumfor different
scales:X < 1 (dashedlines),X = 1 (solidlines),and X > 1 (dash-dottedlines).Noticethe effectof dilation
on the waveletand the corresponding changein its Fourier spectrum.When the waveletdilates,its Fourier
transformcontracts,andviceversa.Also noticethat the Fourier transformof the Morlet waveletis supported
entirelyon the positive-frequency
axis.
compact support, or sufficientlyfast decay, to obtain q(t)- -l/4e-ite-t2/2co o>5. (8)

localizationin spaceand (2) zero mean (i.e., f-ooq(t)
This waveletis complexvalued(seeFigure 4), enabling
dt = 0), althoughhigher-ordermomentsmay also be
zero, that is,
one to extract information about the amplitude and
phaseof the processbeinganalyzed(seeFiguresle-lh
and Figure 5). Its Fourier transform,givenby
tkOd(t)
dt-0 k-0,...,
N-1. (6)t(CO)-- q'r-1/4exp[-(co- co0)2/2] coo-->5, (9)
The requirementof zero mean is called the admissi- is approximatelyzero for co < 0. This is particularly
bility conditionof the wavelet.It is becauseof the above attractivefor certain analyseswhere one needsto elim-
two propertiesthat the functionq(t) is calleda wavelet. inate the interferenceof positiveand negativefrequen-
The secondpropertyensuresthat q(t) hasa wiggle(i.e., ciesfor the interpretationof results.
is wave-like), and the first ensuresthat it is not a sus- The wavelettransformis an energy-preserving trans-
tainingwave.Thenormalizing 1//- ischosen formation,
constant that is
sothat qx,t(u)hasthe sameenergyfor all scalesX.
As is evident, the two conditions described above
leaveopenthe possibilityof usingseveraldifferentfunc- [f(t)l
dt= [wf(x,
t)lx-dXdt. (10)
tionsaswavelets.However,the choiceis usuallyguided
by variousconsiderations in somedepth In general,for two functionsf(t) and #(t) [seeDau-
and is discussed
bechies,1992, equation2.4.2],
in section7. Two popular waveletsfor CWT are the
Mexicanhat and Morlet wavelet [seeDaubechies,1992].
The Mexican hat wavelet
Gaussianfunction,given as
is the second derivative of the
f(t)
O(t)
dt
2
q(t)- -1/4(1 -- t2)e-t2/2.

__
(7) C, - Wf(X, t)dt dX.(1])
t)Wg(X,
The Morlet wavelet is given by
Modulus^2
160 i'
i?:':.::.?.'::
;:"
:.: z';,.'
'..::::..:
':""'.:/ii!'""::
....
.:....... . ..:
....
140 ':"i
120
IO0
"'....
'....:..
:'i
..::-:
:":::;:::"
.. .
.:. ...
80
60

;:.?;,.
...
q
..: ...........
.....?. :::.::::::?:..:.:..
.....: :.:;::.(..-..:
......
':.
........
-.-;:,
?L'.:
.....
.. ,,. ),.. ...
2o
Figure 5. Analysisof temporalrainfall usingthe
Morlet wavelet.The datawere collectedevery10 s
on May 3, 1990, over Iowa City, Iowa, using an
optical rain gage. (a) Square of the modulusor
scalogram,
that is, Iwf(x, t)l2, and (b) phaseof
odg
Wf(X, t). The rainfall intensityis shownat the
Phase bottom of each figure. The scalogramclearly
160 ' "- '"'"
' ''--: .....
'? ' showsthe presenceof multiscalefeaturesand also
150 some embedding of small-scalefeatures within
...... .;;:
.......... ......
140'. .. .:. ? } .. ;j:: .:
..... large-scalefeatures. The phase plot showsthe
100
convergenceof lines of constantphaseto singu-
. .. :; . : :.
120 ...:.:
........
'.. ..... ...
:::. .
.... larities(seediscussionin text). (Reprintedby per-
i::i
:iii::?i:!
i 50 missionof AcademicPress.)
'ii
.:
o
i -50

:g
::.::.::
-100
..::]:'
..: (::.
.::::;-.:
..........
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;;.......
...... .....
............. ,.........:::{
..:>::
::..
::::::
> .:::
.;::.
.........................-..,
....:::;....:::;-:
...:.-..:
.:;];:...
;'.:::::::
............................................
:.....
.... :.:,.: .............
: ::.?..........
.. ::..
:....;. .:::
:.: .:::::
. ,,:.
:...-;::.
:::.:
.. ..:::::::
.:.
::;.::;-'::::::::;'.:::::::::.::*.::::;
..-:::::;
.. : b-.;'::::::::::.
:::.::::'
::::;::.::::.::.
:::::::::::'!:;::.
::.:..:.::::-(:::::::..:'.:::
.;;-'.:.:::Z:::..;::::::::-'.:.:.;::;'::?::;:;:::::::::g
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::::..':'::
-150
. 15
E 10
E
5
.
b
0 500 1000 1500 2000 2500
seconds
Flandrin
[1988]proposed
calling
thefunction
]Wf(X,t)]2 small). This enablesus to identify the locationsof sin-
a scalogram.In analogy,the productWf(X, t)W#(X, t) gularitiesfor further study,such as by fractal or multi-
can be called a crossscalogram. fractal analysis(for more extensivetreatment of this
A scalogramprovidesan unfoldingof the character- idea, seeArnodo et al. [1988]).
istics of a processin the scale-spaceplane. A cross Liu [1994] defineda waveletcoherencyfunction as
scalogramprovidesthe same unfoldingof the interac-
tion of two processes. This can be quite revealingabout wf(x, t) wg(x, t)
F=
the structureof a particularprocessor about the inter- Iwf(x, t)llwg(x, t)l'
action between processes.Figure 5a showsthe scalo- and usingthe Morlet wavelet, he studiedthe interaction
gram of high-resolutiontemporal rainfall measuredat a between wind and ocean waves. He concluded that dur-
point every 10 s (for details on the data set and its ing wave growth the frequency componentsfor peak
measurement,see Georgakakos et al. [1994]). The pres- wave energybetweenwind and wavesare inherentlyin
ence of multiscalestructuresand their temporal loca- phase;that is, wavesrespondto wind speedsinstantly.
tionsare easilyidentified.Also, one can see embedding This result is in contrast to the belief that it is the
of somesmall-scalefeatureswithin large-scalefeatures. "average"wind speedthat is correlatedto wave growth
Figure5b showsthe phaseplot of the wavelettransform. (seealsoGambis[1992]for a similarapplication).
This figureillustratesthat the constant-phase lines con-
verge to a particular singularityas we go from large to 2.4. lime-FrequencylocalizationUsingWavelets
small scales(althoughthe computationof phaseis un- In order to understand the behavior of the wavelet
stablewhenthe modulusof the wavelettransformis very transformin the frequencydomain aswell, it is usefulto
392 Kumarand Foufoula-Georgiou'
WAVELETANALYSIS 35, 4 / REVIEWSOF GEOPHYSICS
to
Figure 6. The phase-space
representationusingthe wavelettransform.
recognizethat the wavelet transformWf(h, t), using pendent of the scale or location parameter.In other
Parseval'stheorem,can be equivalentlywritten as words,the phasespaceis layeredwith resolutioncellsof
varying dimensionswhich are functionsof scale such
that they have a constantarea. Therefore, owingto the
Wf(h, t)= )(to)tx,t(to)
dto. (2) uncertaintyprinciple,which statesthat both time and
frequencycannotbe measuredwith arbitrarilyhigh pre-
Therefore, to gain insightabout the time-frequencylo- cision, an increased resolution in the time domain for
calizationpropertiesof wavelettransforms,we consider the time localization of high-frequencycomponents
the behavior of the following three parametersas a comes at a cost: an increaseduncertaintyin the fre-
function ofscale:(1)Thestandard deviation 2 quencylocalizationas measuredby 6x. The localization
rxofIq,x,t[
satisfiesrx = Mrs. (2) The standarddeviation&x of propertiesof waveletsare discussed in further depthby
12satisfies& = &/X (3) The centerof passing Daubechies [1990] and Holschneider[1993].
bandtox,
whichis defined
asthemodeof [x,t[
2 for
either the positiveor the negativefrequencyaxis,satis-
fiestox
= to/X. 3. DISCRETE AND ORTHOGONAL
From the aboverelationshipsone can easilyseethat WAVELET TRANSFORMS
ash increases,
thatis, asthefunction
dilates,
bothtox
and &xdecrease,indicatingthat the centerof the passing 3.1. Discrete Wavelet Transform
band shiftstoward low-frequencycomponentsand the In order to implementthe wavelettransformon sam-
uncertaintyalsodecreases, and viceversa(see alsoFig- pled signalswe need to discretizethe scaleand location
ure 4). In the time-frequency
plane(or phasespace),the parameters.Wavelet transformsimplementedon dis-
resolution cell for the wavelet transform around the crete values of scale and location are called discrete
point(to,tox)
isgiven
by[to+-ktr x (to/h)
___((/k)], wavelet transforms. One can obtain both redundant and
which has variable dimensionsdependingon the scale nonredundantrepresentations usingappropriatechoices
parameterh (seeFigure6 and alsoFigure2). However, of wavelets and discretization schemes.
the area of the resolutioncell [(x x (x] remainsinde- In discretizingthe scaleand locationparameters(h,
35, 4 / REVIEWS
OF GEOPHYSICS Kumarand Foufoula-Georgiou'
WAVELETANALYSIS 393
t) onecanchooseX = X, wherem is an integerand2to waveletcoefficientsin a neighborhoodare correlatedto

is a fixed dilation stepgreaterthan 1. Sincerx = 2tr, eachother,resultingin improvedresolutionof the sharp
we can chooset - nt02t, where to > 0 dependsupon featuresof the signalbeing transformed.Thus, for ex-
q(t) and n is an integer.The essentialidea of this ample,for detectinga sharpchangein a signala redun-
discretizationcan be understoodby an analogywith a dant representationis useful. However, the oversam-
microscope. We choosea magnification (i.e., 2t-m)and pling also increasesthe computationalcomplexity,
studythe processat a particularlocationandthen move resultingin slowertransformand inversetransformal-
to anotherlocation.If the magnificationis large (i.e., gorithms.
smallscale),we movein smallstepsandviceversa.This Waveletsthat providea frame canbe constructed for
is accomplished by choosingthe incrementalstep in- certain choicesof 2to and to. The conditionsfor the
verselyproportionalto the magnification (i.e., propor- choiceof 2to and to are describedby Daubechies[1992,
tional to the scale 2t), which the above method of chapter3]. Here it sufficesto saythat theseconditions
discretizationof t accomplishes.We then define are fairly broad and admit a very flexible range. For
example,for the Mexicanhat wavelet,for 2to - 2 and to
= 1, the frame boundsare A - 3.223 and B - 3.596,
) -- 1 Od
Odm,n(t (t- nto2tt
/ _2tm/20d(2t_m
t_nto)'
(13)
givingB/A - 1.116. One canobtainB/A closerto 1 by
choosing2to < 2. Grossmannet al. [1989] suggested
decomposing
eachoctaveinto severalvoices(as in mu-
The wavelettransformobtainedusingtm,n(t
) givenas sic)by choosing
2to - 2/M, whereM indicates
the
numberof voicesper octave.With this decomposition
Wf(m,
n)-2t-m/2
ff(t)Od(2tmt_
nto)
dt(14) we get
M ) __2-m/2Mql
Odm,n(t (2-m/M
t __nto). (16)
is called the discrete wavelet transform.
For the Mexican hat wavelet,by choosingM - 4 and to
In the case of the continuous wavelet transform,
= 1 we can obtainA- 13.586 and B- 13.690, giving
Wf(2t,t) completelycharacterizes the functionf(t). In B/A - 1.007. Sucha decompositionusinga multivoice
fact, one could reconstructf(t) using (5). Using the frame enablesus to coverthe range of scalesin smaller
discrete
waveletqm,n
andappropriate
choices
of 2toand steps,givinga more"continuous" picture.For example,
to, we canalsocompletelycharacterizef(t). In fact,we
withM = 4 wegetdiscrete scales at {2t.... , 1, 2TM,
canwritef(t) as a seriesexpansion
undercertainbroad
2/2, 2TM,2, 25/4,23/2, 2TM,4, ... } as against{2t -
conditionson the motherwaveletq(t) and the discreti- .., 1, 2, 4,... } for the usual octave band decompo-
zation incrementsto and 2t0. These discretewavelets sition, that is, M - 1. As an illustration, Figure 5 is
whichprovidecompleterepresentation of the function obtainedusingthe Morlet waveletand four voicesper
f(t) are calledwaveletframes.The necessary and suffi- octave. Multivoice frames are discussedextensivelyby
cient condition for this is that the wavelet coefficients
Daubechies1992,chapter3], who givesmore detailson
Wf(m, n) satisfy the values of A and B for different choicesof M and to
for the Mexican hat and the Morlet wavelet. It should be
[lql -< 5; 5; IWf(m,n)l <-Bllq[
m n
noted that the discrete Morlet wavelet, which is not
orthogonal,gives a good reconstructionunder the
Here Jl2 denotesthe energy(or 52 norm)of the frameworkof (15).
functionf(t), and A > 0 and B < c are constants Redundantrepresentations are more robustto noise
characteristicof the wavelet and the choicesof 2to and to, ascomparedwith orthogonalrepresentations andthere-
which can be determined numerically [Daubechies, fore useful when noise reduction is an issue. Teti and
1992].Given this condition,we can obtaina seriesex- Kritikos[1992]usedonlydominantcoefficients from the
pansionas entire set of { Wf(m, n)}, usingthe Morlet waveletto
obtain stable high-qualityreconstructionof synthetic
2
apertureradar(SAR) oceanimagefeatures(one-dimen-
f(t)-A +B Wf(m, m n
t)Odm,n
+ 'y (15) sional azimuthcrosssections).With the reconstruction
limited to dominant coefficients,filtering automatically
ifA B. The error term '7 is of the order of /(2 + ) takesplacethat gracefullyreduceshigh-frequency infor-
IIl, where= (B/A) - 1 << 1. mationwhile still preservingimagefeatures.The filter-
In general,a frameis not an orthonormal basis(only ingwassuccessful in removingspecklewhilesuccessfully
the conditionA = B = 1 givesan orthonormalbasis).It preserving the scatteringenvelopeof the shipandwake
provides
a redundant
representation
of thefunctionf(t). features.
This is analogous,for example,to representinga vector
in the Euclideanplane usingmore than two basisvec- 3.2. OrthogonalWaveletTransform
tors. The ratio A/B is called the redundancyratio or As was discussed in the Introduction and also in
redundancyfactor. When a frame is redundant,the section2, we often seek to decompose a function(or
394 Kumarand Foufoula-Georgiou:
0.0 0.2 0.4 0.6 0.8 1.0 0.0 0.2 014
Figure 7. (left) The Haar waveletand (right) the corresponding

scalingfunction.
process)into components usingbasisfunctions(suchas

sinesandcosines in the Fourierseriesexpansions) in the f(t) = Dm,nOm,n(t), (18)
hopethat this decomposition will enableus to seesome- m : -o
thingdifferentaboutthe processor enableusto perform

certain operations on the processwith greater ease. where the first summationis over scales(from smallto
Usually, the choiceof the basisset for decompositionis large) and at eachscalewe sumoverall translates.From
governedby the propertythat we wishto be revealedby (18) it is easyto seehow waveletsprovidea time-scale
the decomposition. The Fourier basisis a completebasis representationof the process,where time location and
for the decompositionof the energy or variance.An- scale are given by indicesn and m, respectively.The
other basis called the empirical orthogonal function coefficients
Dm,n are obtainedasDm,n = f f(t)tm,n(t)
(EOF) is also an appropriatebasisfor the decomposi- dt. Thereforethe coefficient
Dm,n measuresthe contri-
tion of variance. In fact, EOFs are the most efficient bution of scale 2 TMat location n2 TMto the function. The
bases for the decompositionof variance in that they totalenergy
of thefunction
canbeobtained
as [f(t)l2
capturethe maximumvariancewith the leastnumberOf dt - E=_ En:- Dm,n
coefficients(or modes).However,both thesebasissets The aboveseriesexpansionis akin to a Fourier series
(i.e., Fourier and EOFs) are "global"in the sensethat with the followingdifferences:(!) The seriesis double
they span the entire domain. Another disadvantageof indexed,with the indicesindicatingscaleand location,
EOFs is that they are "specific"in nature; that is, an and (2) the basisfunctionshave the time-scale(time-
optimal basisset for one data set will not necessarilybe frequency)localizationproperty.
an optimal representationfor another data set. In con- The Haar wavelet(seeFigure7) is the simplestof all
trast, Fourier basisis a "universal" basis;that is, it can be orthogonalwaveletsand is givenas
used for efficient decompositionof any data set. Both 1
the Fourier basisset and EOFs are orthogonalin that 1 0_<t<
each "mode" of the decompositioncarriesinformation (t)= -1 l<t<l (19)
2
that is independentof the other modes.
0 otherwise.
For many signalsthat are nonstationaryor whose
frequency content changesover time, often the most
For practical applications,often a smoother basis is
desirablebasisfor decompositionof a signalis one that
desired.Baseswith compactsupportand an arbitrary
is orthogonal,local, and universal.Wavelet basesem-
high order of smoothnesshave been developed,and a
body all thesecharacteristics(see Gamageand Blumen
complete descriptionis given by Daubechies[1988,
[1993] for a comparativestudy of Fourier, EOF, and
1992], Daubechiesand Lagarias [1991, 1992], Meyer
wavelet basisapplicationin turbulence).We can find[1992], and Chui [1992a]. An example of a wavelet
discrete
wavelets
tm,n(t
) for X0= 2 andto = 1, thatis, developedby Daubechies[1988] called D8 is shownin
Figure8. It satisfies(6) for N = 4. As canbe seen,it is
tm,n(t
) =2-m/2t(2-mt-
n)= t 2m, a fairly smoothbasiswith very good localizationprop-
erties in the Fourier domain.
suchthat the setof functions{qlm,n}for all m andn Time-scale analysis,analogousto the continuous
form an orthonormalbasis.The most remarkableprop- wavelettransformcase,canbe performedusingorthog-
erty of this basisis that the functionsare orthogonalto onal wavelets.For example,Figures9a and 9c showthe
their translatesand their dilates[seeMallat, 1989a].All phase-spaceplot of the May 3, 1990, Iowa City, Iowa,
squareintegrablefunctionsfit) canbe approximated, up temporalrainfall data (displayedin Figure 5) usingthe
to arbitrary high precision,by a linear combinationof Haar (Figure 9a) and D8 (Figure 9c) wavelets.As is
thewavelets
tm,n(t),that is, seen,mostof the variabilityis concentratedin the large-
35, 4 / REVIEWSOF GEOPHYSICS Kumar and Foufoula-Georgiou'WAVELETANALYSIS 395
1.5
0.5
0.4
0.5 ....... ':......
0.3
0
0.2
-0.5 0.1
-1 0
0 2 4 6 0 10 20 30 40 Figure 8. (top) DaubechiesD8 wavelet
t Frequency(Radians) [Daubechies,1988] and its Fourier trans-
form magnitude,and (bottom) the corre-
1.5
spondingscalingfunction and its Fourier
0.5 transformmagnitude.
1
0.4
0.5 0.3
0.2
0
0.1
-0.5 0 '
0 2 4 6 8 0 10 20 30 40
t Frequency(Radians)
scalefeatures,with small-scalefeaturesaccountingfor a Also, it is noted that there is not a significantdifference

relativelysmallfractionof the variability.Figures9b and due to the choiceof wavelets.Comparisonof Figure 9
9d showthat relativelyfew waveletcoefficientscan cap- with Figure 5 showsthat the phase-spaceplots using
ture a significantportion of the variability (energy). orthogonalwaveletsand Morlet waveletframespick up
00o
r,.q.
o
o
v- o
o
' O d
0 500 1000 1500 2000 2500 1 5 10 50 100
Time a Number
ofCoefficients b
0 500 1000 1500 2000 2500 I 5 10 50 100

Time C Number
ofCoefficients d
Figure 9. (left) Time-scaleplot of the 10-sMay 3, 1990,Iowa rainfalltime series(seeFigure5) using(a) the
orthogonalHaar waveletand (c) the D8 wavelet.(b and d) The cumulativeproportionof energycapturedby
thewaveletcoefficients(solidline) andthe data(dottedline) obtainedby orderingthewaveletcoefficients and
data-sequencevaluesfrom the largestto the smallestin absolutevalue.
396 KumarandFoufoula-Georgiou'
WAVELET
ANALYSIS 35, 4 / REVIEWS
OF GEOPHYSICS
Data
D2
S2
D3
S3
D4
$4
D5
S5
D6
S6 S6
50 i0'0015'00
20'00
25'00 ) 5)010'00
15'00
20'00
25'00
Time(secs) a Time(secs) b
Data Data
D1
D2
S1
D3
D4 S$
D5
s4
S5
D6
S6 S6
50 10'00
15'00
20'00
25'00 0 500 10'00
15'00
20'00
25'00
Time
(secs) C Time(secs) d
Figure10. Illustration
of multiresolution
analysis.
(b andd) The10-sIowarainfalltimeseries
(seeFigure
5) at decreasing
resolutions,
and(a andc) thedetailthatneedsto beaddedto gofromoneresolution
to the
next.Thegeneral
scheme
ofprogression
isSx-1= Sx+ Dx.Analysis
using
(top)theHaarand(bottom)
D8
wavelets.
similarinformationsubjectto the constraintsof resolu- anism for going from one resolution to another. To
tion of Heisenbergcells. understand this,imaginethat you are lookingat a se-
quenceof continuous functions suchthatthe firstfunc-
3.3. Multiresolution Analysis tion describes
onlybroadfeaturesof a process (coarse
One of the mostprofoundapplicationsof orthogonal resolution).Each subsequent functionprogressively
wavelettransforms hasbeenin multiresolution analysis. addsmoreandmoredetail(higherresolution) suchthat
In somesensewe cansaythat an entireclassof orthog- smaller-andsmaller-scale featuresstartappearing asthe
onal waveletswas developed[Daubechies, 1988]from resolutionincreases. For example,Figure10b, repre-
the theoryof wavelet-basedmultiresolution analysisof sentsthe May 3, 1990,Iowa Cityrainfalldataat decreas-
Mallat [1989a].Multiresolutionanalysisis concerned ingresolutions (increasing scales)t = 1, 2,'", 6), and
with the studyof signalsor processes represented at Figure10a represents the corresponding wavelettrans-
differentresolutions
and developing an efficientmech- form obtainedusingthe Haar wavelet.At the coarse
35, 4 / REVIEWSOF GEOPHYSICS Kumarand Foufoula-Georgiou:
WAVELETANALYSIS 397
resolutionlevel,all featureslargerthan a particularscale of the data). The data were further subsampledby a
are present.Let us representthisasfro(t) (i.e., function factorof 2 to make the computationmanageable.Figure
approximatedby 2 -m samplesper unit length in our 11a showsthe time-frequencyplot. The presenceof
notation so that asm decreases,i.e., scaledecreases,the intermittency
in thesensible
heatflux(cpW'T' whereCp
resolutionincreases).To get the function at the next is the specificheat capacityof air), characterizedby
higherresolution,we add somedetailf(t), that is, sharptransitions whichare manifestedashigh-frequency
components,is clearly evident.Also evident is a slow
fm-(t) = fro(t) + f(t), (20) increasein recurrenceof theseevents.Figure 11b shows
whichis the basicrecursiveequationof multiresolution the distribution of energy at different scales.There
theory(in Figure10 thisis indicatedasSx_(t) - Sx(t) + seems to be some evidence of dominant scales of varia-
Dx(t), thatis,Sx =fro(t), Sx_= fm--(t),andDx = f(t)). tions associatedwith scale indices X = 6 and X = 8,
In the waveletmultiresolutionframework,fro(t) is ap- which correspondto timescalesof 1.143 and 4.57 s,
proximatedas respectively.Figure 11c showsa summaryof the distri-
butionsof waveletcoefficientsat different scalesusinga
box plot. The box indicatesthe interquartilerange.The
fro(t)= , Cm,n(m,n(t), (21) middle white strip indicatesthe median. The dynamic
rangeis maximumfor X = 8, indicatingsignificant activity
whereq>m,n(t) = 2-m/20)(2-mt -- n) is a smoothing at this scale.Figure lid showsthe energyconcentration
function.The coefficients Cm,= f O)m,n(t) f(t) dt give function(ecf),whichfor anysequence{an} is definedas
the discretesampledvaluesof f(t) at resolutionm and
locationindexn; that is, the function(t), called the
"scalingfunction," acts as a samplingfunction. The
detailfro(0is approated usg ohogonalwaveletsas
ecfa(k):
n =0 k-1
a ]
/N-I
n=0
an, (24)
wherea[nI is the nth largestabsolute

valuein {an}.
f(t) = Dm,n,m,n(t), (22) Essentially,if eCfa(k)> ecfo(k), then the firstk-largest
coefficientsof the sequence{a n} containmore energy
than thoseof {bn}. The energyconcentrationfunction
wherethecoefficients D, aredefinedasin (18). The showsthe disbalancein energy [Goel and Vidakovic,
scalingfunction(t) and wavelets(t) are related to
1994] in the waveletcoefficientsas comparedwith the
each other, and one determines the other. For the Haar
data. This also indicatesthat relativelyfew wavelet co-
waveletthe scalingfunctionis the characteristicfunction efficients describe the dominant characteristics of the
of the inteal [0, 1) (seeFigure 7) givenas data. This information can be used to characterize the
dominant scalesof variation in the data, as discussednext.
(t)= 0 1 0 t<1
otheise. (23) 4.2. Identification of Scales of Variation
Figure8 illustratesanotherexampleof a pair of scaling
The need to identify significantstructuresfrom a
functionsandwavelets.The scalingnctions and wave-
passiveor noisycomponentof a signalis an ubiquitous
lets play a profound role in the analysisof processes
problem. In turbulence studiesit arises often in the
usingorthogonalwavelets,as discussed in section4.
isolationof coherentstructures.In signalprocessing,
we
are faced with the need to separatesignalfrom noise.
4. DATA ANALYSIS USING WAVELET The waveletspectrumdefinedas [seeMeneveau,1991a;
TRANSFORMS Yamadaand Ohkitani, 1991a;Hudginset al., 1993a,b]
4.1. ExploratoryData Analysis

Through exploratorydata analysis(EDA) [Tukey,
1977],we aim to get a preliminaryindicationaboutthe
E(X)
=fWf(X,
t)dt, (25)
characteristics of the data and the nature of further which for the orthogonaltransformis givenby
analysisit callsfor. Wavelet transformsoffer a powerful
E(m)= Y IDm,nl (26)
tool for EDA where we can get an idea about the n
nonstationarityand the dominant scalesof variation

presentin the series.As an example,considerFigure 11, has been quite usefulfor detectingthe dominant scales
whichshowsan exploratorydata analysisof a W' T' time or modesof variation.Notice that the waveletspectrum
serieswhere W' and T' representfluctuationsin the condenses the scalogram(or phaseplane) into a single
verticalwindvelocityandtemperature,respectively. The functionof scale.Gainageand Hagelberg[1993] explain
data were obtainedwith a samplingfrequencyof 56 Hz that the wavelet spectrumcan be comparedwith the
over a dry lake bed in OwensValley, California,on June Fourier spectrum(where the varianceof the signalis
27, 1993(seeKatuletal. [1994]for a detaileddescription decomposedas a function of wavelength).The main
WAVELET
OF GEOPHYSICS
ijiii!iiiii Illi , ........

o.............................................
!' '."",.'.'::'&,
;*g'"'"-.':i,-"
'';..:,'""';, .... ................................................................................
,
20 40 60 80 100 10 10 160 0:0 0:2 0;4 0:6 0;8 1;0

Time a Energy
(100%) b
o
o.
'o 6o o'oo
Number
ofCoefficients d
Figure11. Exploratory
dataanalysis
of a W'T' timeserieswhereW' andT' represent
fluctuations
in the
vertical
windvelocity
andtemperature,
respectively.
(a) Time-frequency
plot.(b) Distribution
of energy
of
waveletcoefficients
at differentscalesX identifiedthroughthe labelsdX. The label sX indicatesthe
information
remaining
in thedatathatis notcaptured
bythewavelet
coefficients.
(c) Boxplotof wavelet
coefficients.
Theboxindicates
theinterquartile
range,
andthemiddle
whitestripindicates
themedian. (d)
Energy concentrationfunction for the data and wavelet coefficients.
difference betweenthewaveletandFourierdecomposi- Scalethresholdpartitioningconsists of reconstructing

tion is in the supportof the respectivebasisfunctions. the signalusingwavelet coefficientsthat contributeto
The wavelettransformcoefficients are influencedby the local maximain the waveletspectrumif there are.
local events, while the Fourier coefficients are influ- clear scalegaps.Otherwise,one can just use all the
enced by the function on its entire domain. This makes waveletcoefficientsfor the scalesthat oneperceivesas
the wavelet spectruma better measureof varianceat- dominant.In phase-plane partitioning,one performs
tributed to localized events. reconstruction
of the signalusingwaveletcoefficients
Localmaximain the waveletspectrumprovideinfor- whoseamplitudesare abovea certain threshold.In this
mationaboutthe scalesat whichimportantfeaturesor case,a separationof signaland noiseis achieved.This
coherenteventsprovidea significantcontribution.This happensbecausein the case of wavelet transformsthe
can happenin one of two ways:It can be due either to presenceof white noisein the signalgetssmearedat all
one feature with a large contributionor severalsmall scales,thereby providingonly small contributionsat
features with lesser contributions. Either or both situa-
eachscale,andis easilyeliminatedwith an appropriate
tionsmightbe presentin a signal. choice of threshold. There are various different rules for
Variants of two techniquescalled "scalethreshold choosing a threshold,as discussed in detailby Donoho
partitioning"and "phase-planethresholdpartitioning" and Johnston[1994]. Often combinationof scaleand
[Hagelberg and Gamage,1994] have been commonly phase-planethresholdingprovides an appropriate
employed to isolate the dominant modes of variation. meansfor segregatingsignalcharacteristics.
35, 4 /REVIEWS OF GEOPHYSICS Kumarand Foufoula-Georgiou:WAVELETANALYSIS 399
Hagelbergand Gamage[1994]usedthe maximaof the

14
waveletvarianceas a meansfor identificationof impor-
12
tant scalesin heat flux data measuredusingaircraft in
the First International Satellite Land Surface Climatol-
ogyProject(ISLSCP) Field Experiments(FIFE) [Sellers
et al., 1992]. They used scalethresholdpartitioningto
separate the processinto componentswith different
dominantscales.Howelland Mahrt [1994]usedwavelet-
basedmode separationtechniquesusingthe Haar wave-
let to studyturbulencedata, each mode defined locally
in terms of upper and lower cutoff scale. They parti- ,,,,I,,,,I,,,,
tioned the velocity field, measured45 m above a flat
terrain in near-neutral conditions, into four modes of 198 199 200 201 202
variation and analyzedthe coherentstructureassociated km-,
with each particularmode. Figure 12 showsthesefour
modes of variation of a longitudinalwind component,
whichcorrespond to mesoscale(c = 1), largeeddy(c =
2), transporting
eddy (c = 3), andfinescale
(c = 4).
Collineauand Brunet [1993a,b] showedthat when a
wavelet
variance
graph
E(X) exhibits
a single
peakat a
scale
as)to,
acharacteristic
duration
scale
Dcan
be
defined
D- XoD,, (27)
whereD, is a duration
constant
whichis anintrinsic
property
of
the
wavelet
.(t).
D,can
Calculations
be
compared
as
the
solution of a simple first-order differential equation.
for some common wavelets such as Mexi-
198 199 200 201 202
can hat are givenby Collineauand Brunet [1993a].They
km-,
demonstratedthat D can be interpreted as the mean
duration of the elementaryeventscontributingmost of
the signalenergy.For a sine functionof period -r, D = Figure 12. (top) The four orthogonalmodes(mesoscale, c-
,/2. Brunetand Collineau[1994]usedtheseparameters 1; large eddy,c -- 2; transportingeddy,c -- 3; and fine scale,
c - 4) of the longitudinalwind velocitycomponentu mea-
to characterizethe lengthscalesof eddiesabovea maize sured 45 m above a flat terrain in near neutral conditions.
crop,and after normalizingD with frictionvelocity(u.) (bottom)The sumof the four differentmodeswhichequalsthe
and canopyheight (h), that is, usingDu./h, they pos- originaldata. (Adaptedfrom Howelland Mahrt [1994].)(Re-
tulated that transfer processesover plant canopiesare printed by permissionof AcademicPress.)
dominatedby a populationof canopy-scaleeddieswith
universalcharacteristics.Gao and Li [1993], in a similar
study over a deciduousforest, using a Mexican hat spatialpropertiesat everyscale,whichis of greatimpor-
wavelet,observedthat changesin waveletvariancewith tance in the study of turbulence.He observedthat the
scalesare characterizedby local maxima. These local (orthogonal)wavelet-transformed Navier-Stokesequa-
maximacan providean objectivemethodfor determin- tionswere rather complicatedbut the appropriatecon-
ing the principal timescaleof the coherent structures traction relevant to the energeticsof turbulence was
presentin a signal.In time seriesof wind velocitythese more transparent.He developedseveralstatisticalmea-
structuresare observedas periodicpatternswhich are a suresto studythe spatialvariabilityof the velocityfield.
manifestationof an ejection-sweepmechanism,corre- Of significanceis the conceptof "dual spectra,"which
spondingto a slowupwardmovementof air followedby givesinformation both about the contributionsof vari-
a strongdownwardmotion associatedwith an accelera- ous scalesand about the spatial variability associated
tion of horizontalvelocity.A similartechniquewas also with each scale, which can be used to quantify the
usedby Turneret al. [1994] in their studyof turbulence intermittencyof the kineticenergy.He observedthat the
over a forest canopy. local kinetic energy can be describedas a multifractal
Meneveau[1991a,b] wasthe first to applyorthogonal field. Similar studiesin atmosphericturbulence have
wavelet transformexpansionto the solutionof Navier- been performedby Yamadaand Ohkitani [1990, 1991a,
Stokesequations.In comparingthis approachwith tra- b], Hagelbergand Gamage [1994], Katul et al. [1994],
ditional Fourier-basedapproacheshe argued that the Howell and Mahrt [1994], and Benzi and Vergassola
wavelet approach allows more meaningful analysisof [1991], amongothers.
4.3. Self-Similar and Fractal Processes Georgiou[1993a,Appendix B] further showedthat the

Orthogonalwavelet transformsare extremelyuseful wavelet transform of a processwith stationaryincre-
for the analysisof self-similar(or simplescaling)pro- ments of order N, using wavelets with N vanishing
cesses,that is, processesthat satisfy moments(see equation (6)), is a stationaryprocess.
Tewfikand Kim [1992]showedthat althoughfor a fixed
{X(Xt)} {x"(t)} x> 0 (28) scalethe orthogonalwavelet coefficientsof a FBM are
stationary,thesecoefficientsat different scalesare cor-
becauseof their ability to provide elegant multiscale
related but the correlation function decayshyperboli-
transforms. Here___aindicates equality in (probability) cally fast. This rate of decayincreaseswith increasein
distribution,and H is the scalingparameter.A typical
the numberof vanishingmomentsof the wavelets(see
exampleof a self-similarprocessis the fractionalBrown-
equation(6)) [seealsoRamanathanandZeitouni,1991].
ian motion [Mandelbrotand Van Ness,1968].This pro-
Percivaland Guttorp [1994] argued that the usual
cess hasa powerlawspectrum (i.e.,S(to) 1/co2n+l). varianceis not an appropriatemeasurefor studyinglong
Mallat [1989b,equation(55)] has shownthat for pro-
memoryprocesses suchas fractionalBrownianmotion.
cesseswhosespectrumsatisfiesa power law the energy
As an alternativetheyproposedusingthe Allan variance
E(m) of the detailsignal(waveletcoefficients) satisfies
[Allan, 1966] becauseit can be estimatedwithout bias
the relationship
and with good efficiencyfor such processes,and they
E(m) = 22nE(m+ 1). (29) showedthat thisvariancecanbe interpretedasthe Haar
wavelet coefficientvariance. They generalizedthis to
That is, the energiesof the detail function at different other waveletsand illustratedtheir methodologywith an
resolutions(and henceat differentscales)havea linear applicationto time seriesof vertical oceanshearmea-
relationshipon the logarithmicscale. surements.
Wornell[1990] has describeda method to construct
self-similarprocessesfrom a set of uncorrelatedrandom
4.4. NonstationaryProcesses
variablesusing orthonormalwavelet basesin the same One reason for the remarkable success of the Fourier
spirit as Karhunen-Lo6veexpansion.He showedthat if
we construct
transformin the studyof stationarystochastic processes
is the relationshipbetweenthe autocorrelationfunction
X(t) : dm,ntmn(t) (30) and the spectrum,as illustrated by the following dia-
m,n gram:
suchthatthesequences
{d,n,,,
} areuncorrelated
for any x(t)
distinctpairsm and m' and have a power law variance,
thatis,Var(d,n,,,)
= (2-'n)2nE(m),
thenX(t) isnearly
self-similar,providedthe waveletssatisfya certaincon- R(,)= [X(t)X(t--r)] S(to)
= I(co)l
2
dition. The classof waveletsthat satisfythis condition
includesthe Haar waveletand the compactlysupported whereR(-r) and S(to) are the autocovariance function
wavelets constructedby Daubechies[1988]. The pro- and the powerspectrumof the stochastic processX(t),
cessesconstructedthisway retain the basicmacroscopic respectively,
indicatesthe expectationoperator,and
spectral structure usually associatedwith self-similar indicatesthe Fourier transform. If an analogousrela-
processes.Constructionof more complex self-similar tionshipcouldbe developedfor nonstationaryprocesses
processes,such as multifractal and multiaffine fields, usingthe wavelettransform,then the propertiesof the
wavelet transform could be harnessed in a more useful
based on waveletshas been presentedby Benzi et al.
[1993]. way. It turnsout that, indeed,sucha relationshipcanbe
From the above results we see that wavelet trans- developed.
forms are very attractive for the study of self-similar The waveletvarianceE(X), althoughinterestingin its
processes.For instance,we obtain particularlysimple own right, takesus awayfrom the nonstationarityof the
expressions for the estimationof the scalingexponentH processsince it is obtained by integratingover t. We
for a scalingprocess(see equation(29)) and an attrac- therefore need somethingelse. This is providedby the
tive recipe for the synthesisof second-orderscaling Wigner-Ville spectrum.Let us definea general(nonsta-
processes (see equation(30)) usingwavelets. tionary)covariancefunctionR (t, s) as
Flandrin [1988,1992]hasshownthat for a fixedscale
the wavelet transform of the fractional Brownian motion
R(t, s): [X(t)X(s)].
(FBM) is stationary.This result can be extendedto Then the Wigner-Ville spectrum(WVS) is definedas
concludethat the wavelet transform of any finite vari- [seeClaasenand Mecklenbrauker,
1980]
ance zero-meanprocesswith self-similarstationaryin-
crements,at any fixed scale,when restrictedto its sec-
ond-order properties, behaves as a zero-mean WVSx(t, to)= R t + , t - e-i'* d'. (31)
covariancestationary process.Kumar and Foufoula-
35, 4 /REVIEWSOF GEOPHYSICS KumarandFoufoula-Georgiou'
WAVELET
ANALYSIS
401
The WVSx(t, to) is an energydensityfunctionlike the 5. WAVELET PACKETSAND TIME-

spectrogram. of interestto usis given FREQUEY-SCALE ANALYSIS
The relationship
by the relationbetweenthe scalogram andthe WVS:
We haveseenthat the conceptual keyto understand-
tWX(A,t)l2= ing the successof the wavelet transformin addressing a
widerangeof problemsis its prorty of time-frequency
localization.However,the decomposition patternof the
WVSx(u, to)WVS, X ' kto dudto; (32) time-frequency plane, thatis,the layeringof thecells,is
predetermined by the choiceof the basisfunction.Note
that the Heisenberg
uncertainty
principledictatesthe
that is,the scalogramcanbe obtainedby affinesmooth. minimum area of the cell but not its shape. As was
ing (i,e., smoothing
at diff.erentscalesin t andtodirec- mentioned earlier, to Mrther improve time-frequency
tions)of the WVS of X with the WVS of the wavelet. analysis,we will want to layerthe time-frequency plane
Thisrelationship hasbeendeveloped byFlandrin[1988]. with rectangularcellsof arbitraryaspectratios.These
As of thiswriting,we areunawareof anyinverserelation cellshavean area greaterthan the minimumas dictated
to obtainthe WVSx from the scalogram. We canput the by Heisenberg's uncertaintyprinciple,but the shapeof
key resultof this discussion in the followingdiagram- the box, that is, the aspectratio, is determinedby the
matic form: signal(or function)understudy(seeFigure3).
Waveletpacketsdevelopedby Coifmanet al. [1992a,
x(t) w wx(x, t) b] accomplish thisin an adaptivefashionby decoupling
the scaleand frequencyparameter.They introduceda
libraryof functions, calledwaveletpackets,fromwhicha
WVSx(t,
to) equati__on
(32 Iwx(x,
t)l2 countablyinfinite numberof orthogonalbasescan be
built. The infinitelymanybasesof wavelet.packetscon-
This illustrates that there is an inherent link between the sistof a setof localizedoscillating
functions
(t) of
studyof nonstationary processes andwavelettransforms zeromeanparameterized bypositiont, frequencyto,and
akin to the link betweenstationaryprocessesand Fou- scaleX. The index /is definedas (t, to, X). A wavelet
riertransforms. Althoughwe arenotawareof anydirect packetfamily(a setof basisfunctions) is thusgenerated
existingapplicationof this propertyin geophysics, we by translation, dilation,and modulation of a "mother
anticipatethat it will play a significantrole in future wavelet" (t). The scale X, position t, and frequencyto
studiessincemanygeophysical processesarenonstation- are the characteristic width of the spatial support,the
ary. position of the center, and the characteristic frequency
of the basisfunction,respectively. It is noted here that
waveletpacketscanbe constructed usinganyorthogonal
4.5. Numerical Solution of Partial wavelet(seeWickerhauser [1994]for details).
DifferentialEquations The entire collectionof time-frequencyatomsfor all
Perrier[1990]arguedthat the spatiallocalizationof possible choices of the index set {(t, to, X)} providesa
waveletsallowspreciseapproximation of discontinuitieshighlyredundant setD = {q(t)} calleda dictionary
withoutproducing spurious all overthe do- [Mallatand Zhang,1993].Figure 13 showssomebasis
fluctuations
main. Also, the asymptoticdecreaseof waveletcoeffi- elementsgeneratedusingthe Haar waveletfor different
cients,at smallscales,dependsuponthe localregularity scaleandfrequencyparameters.To efficientlyrepresent
of the analyzedfunction.Thus the largestcoefficients anyfunctionf(t), we mustselectan appropriatecount-
will concentrate near discontinuities. He demonstrated ablesubset
of atoms{n(t)} where% = (tn, co
n, Xn)
the advantageof thesepropertiesby usingorthogonal so that f(t) can be written as
waveletbasesfor the solutionof the transportequation.
Qian and Weiss[1993] compareda wavelet-Galerkin
f(t) = anqn(t), (33)
nGF
method with standard numerical methods for the nu-
merical solutionof the biharmonicHelmholtz equation where F is the subset of indices over which the series
and the reducedwave equationin nonseparable,two- expansion
isachieved.
Dependinguponthechoiceof the
dimensional geometry.Theydeveloped a methodthatis time-frequency
atomsqI/n(t),the coefficients
an give
stableand spectrallyaccurate.They obtainedaccurate explicitinformationon certainpropertiesof f(t). One
resultsfor problemswhere,for instance,finitedifference needsto developa procedurethat choosesthe atoms
methodsdo not converge, or convergeslowly,andwhere qi%,(t)
thatarebestadapted
fordecomposing
thesignal
Fourierspectralmethodsdo not apply.They usedthe structuresamongall the time-frequencyatomsof the
waveletmultiresolutionframeworkof Mallat [1989a]to large dictionaryD. Compactexpansions highlightthe
formulatethe problemandits solutionscheme[seealso dominantfeaturesoff(t) and allowf(t) to be character-
Glowinskiet al., 1990; Schultzand WyM, 1992;Xu and ized by a few salientcharacteristics
[Mallatand Zhang,
Shann,1992]. 1993].
Figure 13. Wavelet packetsgenerated

from the Haar wavelet for three scales:
(a) smallestscale,(b) intermediatescale,
and (c) largestscale.
The objectivethen is to computea linear expansionof where Rf(t) is the residualvector after approximating
f(t) over a set of time-frequency-scale atomsselected f(t) alongqs0(t) andanglebrackets represent aninner
fromthedictionary D = { qs(t)}in orderto bestmatch product.
The functions q0(t) arechosen
suchthatthe
its inner structure.We discusstwo algorithms,namely, normof the residualIIgl is minimum.Thisdecomposi-
entropy minimizationand matchingpursuits,to choose tion canbe carriedout recursively usingIJ.yn
C D to
the coefficientsthat achievethe desiredoptimalityin the obtain
representation(33). Both attemptto exploitthe "disbal-
p
ance" in the distribution of energy in the transformed
domain,that is, fewer coefficientsof the transformcap- f(t) = (g% 'Yn).ql_
gP+lf(t). (36)
n=0
turingsignificantlymoreenergythanan equalnumberof
data points when arrangedin the order of decreasing The energyis partitioned as
energy[Goeland Vidakovic,1994].The more the energy
is disbalanced,the better the performanceof the algo- p
rithm. IIf(t)l I<g%qSn)l

2q-IIg"+f(t)11 (37)
The entropy minimizationof the sequence{an} is n=0
defined as
The algorithmguaranteesthe convergenceof the series
lanl2 asp - . The most important feature of this decom-
H(a)
=- Pn
1Ogpn,
n Pn
: [an[2
(34) n
position is that it is a greedy algorithm and in each
recursion,optimizationis carriedout locally,in contrast
with Pn logPn = 0 if Pn = 0. The coefficientsan, and to the globaloptimizationin the entropyminimization.
consequently
thebasis
functions
ql/n(t),
arechosen
soas A method usingthe matchingpursuitsalgorithmto
to minimizeH(a). In entropyminimization,exp{H(a)} identify coherent structureswas developedby Kumar
is proportionalto the number of coefficientsneededto [1996]. This method was able to reveal the essential
representthe signalto a fixed mean squareerror. Thus dynamicsof precipitationusingthe time-frequency-scale
minimizing entropy results in an orthonormal basis, decompositionsobtained from wavelet packets.It was
termed "best basis,"which describesa function with the argued that when the original function correlateswell
smallestpossiblenumber of coefficientswith respectto with a few dictionaryelements,thesecorrelatedcompo-
the entropy cost function. nentsrepresent"coherentstructures"[Davis,1994],and
In the matchingpursuitalgorithm(developed byMal- the remainingportion was called residueor noisewith
lat and Zhang [1993]), optimalityis achievedthrough respect to the chosendictionary.It is noted that al-
successive approximationsof f(t) with orthogonalpro- thoughthe term "coherentstructure"asusedhere is not
jectiononelements
of thedictionary
D. Letqs0(t
) D. strictly in accordancewith that used in the turbulence
The functionf(t) can be decomposed
into literature, it is not inconsistent with that notion. In
turbulencethe term is usedto describea regionof flow
f(t) = (f, qs0)qs0(t
) + Rf(t), (35) over which at least one fundamentalflow variable (ve-
35, 4 / REVIEWS
OF GEOPHYSICS Kumarand Foufoula-Georgiou'
WAVELETANALYSIS 403
Dec. 2, 1990
o
5 10 15 0
Time in hours
% of energyper scale
0 1 2 3 4 5 6 7 8 9 10
Dominant Scales
level.O
,,, I,II,,[,,,
i,Il ,,,l,,,,1,,,
I I I ii
,h i i
level.9
2(00 4C00 6(00 8(00

pt
Figure14. (top) Rainfalltimeseriesobserved at a pointin IowaCityon December2, 1990.The dataare

availableat 10-ssamplingintervals
andconsistof 8192points.(middle)Energyat differentscales obtained
usinga waveletpacketdecomposition with matching pursuitsalgorithm.Noticethe two distinctscalesof
variationidentifiedasconvective
andsynopticbyKurnar[1996].(bottom)Reconstruction of the fluctuations
at the two dominant scales of variation.
locity,density,temperature,etc.)exhibitssignificantcor- convectiveand synopticscalesusingthis method.This

relation with itself or with another variable [Robinson, studyshowedthat thereexistdistinctscalesof variation,
1991].Here we usethe term coherentstructureto de- identifiablewithraincellsandsynoptic-scaleactivity,which
scriberegionswherethe variableunderstudyis signifi- is in contradistinction
to the scaleinvariancehypothesis.
cantly correlatedwith the basis elements,and these Venugopal and Foufoula-Georgiou [1996]usedwave-
regionswill have meaningfulcharacteristics, provided let packetsto studythe energydistributionof rainfall
the basis elementshave meaningfulproperties.The overtime, frequency,andscalein an effortto gainmore
choiceof waveletpacketsasbasiselementsenablesusto insightinto the rainfall-generating
mechanism.
Using
identify fluctuationsthat persist or have a lifetime high-resolution (5- and 10-ssamplinginterval)temporal
greaterthantheircharacteristic wavelength. We will also rainfall series,theylookedfor the existenceof persistent
seethat this doesnot excludethe possibilityof identify- and short-livedstructuresand their associatedfrequen-
ing singularities
as coherentstructures,providedthey cies and timescales,as well as the energy they carry.
have significantcontributionto the variabilityof the They then conjecturedthat the high-energy(high-fre-
process.The studyappliedthe methodto severaltem- quency)short,livedstructuresmay be associated with
poralprecipitationdatasequences andwasableto find the convective portionof the rainfalleventandthat the
the dominant scales of variation in the observed rainfall. low-energy(high- or low-frequency)persistentstruc-
Figure14 illustratesthe dominantscalesof variationin turesmay be associated with the stratiformportion.
a temporalrainfall sequenceobservedin Iowa City. Farg et al. [1992] appliedwaveletpacketsfor com-
Notice the large-scalehigh-frequency componentand pressing two-dimensional turbulentflows.Theydefined
the reconstructionof the precipitationvariability on their bestbasisasthe one that minimizedthe enstrophy.
WAVELET
OF GEOPHYSICS
Spectrum
of 2D-Mortetwaveletat scale= 1, angle= 0
..:
0
10
5 10
5
--5
-lO 1o
frequencyy frequencyx
Figure15. Frequencysupport
ofthetwo-dimensional
Morletwavelet
[Kumar
andFoufoula-Georgiou,
1994].
(Reprintedbypermission
fromAcademicPress.)
They found that the most significantwaveletpacket An analogousinversionformula alsoholds,that is,

coefficientsin the best basiscorrespondto coherent
structuresand that the weak coefficientscorrespondto
vorticityfilaments.They were thus able to distinguish f(t)- **
0
X-zWf(X,
u)qx,.(t)
dXdu. (39)
betweena low-dimensional dynamically activepartanda
high-dimensional passivecomponent. The conditionof admissibilityof a two-dimensional
Saito[1994]usedwaveletpacketsfor noisesuppres- waveletremainsthe same,that is, (1) compactsupport
sionand compression of geophysical signalscontaining or sufficiently
fastdecayand (2) ff q(t) dt= 0.
transientfeatures such as a migrated seismicsection. As an example of the two-dimensionalwavelet, we
The basicidea behindhis schemeis that the signal discuss the extension of the Morlet wavelet to two di-
componentin the data may be representedby one or mensions. Define the vectort = (tl, t2) on the two-
more of the basesin the library, whereasthe noise dimensional planewith Itl - x/t + Thenthe two-
componentcannotbe representedefficientlyby anyba- dimensional Morlet wavelet is defined as
sisin the library[seealsoWickerhauser,
1992].
1
6. TWO-DIMENSIONAL APPLICATIONS q(t)

=- exp
(-il.t)exp
(Itl=/2)(40)
I1 5
The continuous two-dimensional wavelet transform is
obtainedby treatingu - (ul, u2) and t - (t, t2) as with Fouriertransform(seeFigure15)
vectorsin (3). Thus, for the two-dimensional
case, 1
0()
_ e-In-n01=/2,
(41)
Wf(k,t)-fooff(u)qlx,t(u)du X>0
where1 - (tot, 002)is an arbitrarypoint on the two-

(38) dimensional
frequency
planeandfl = (to,
002
) is a
constant.The superscript0 indicatesthe directionof the
wavelet, that is,
dtl.
Wf(X,
t) - f(u) tp X
0 - tan- (to2/to). (42)
35, 4 / REVIEWSOF GEOPHYSICS Kumar and Foufoula-Georgiou:WAVELETANALYSIS 405
The propertiesof thiswaveletare bestunderstoodfrom behind usingwavelet transformsfor the studyof turbu-
its spectrum.Figure 15 showsthe spectrumof the two- lenceis to decouplethe dynamicsof coherentstructures
dimensional(2-D) Morlet waveletfor 0 = 0 and X = 1. from the residualflow.As is arguedbyFarg et al. [1996],
This wavelet is no longer progressiveas in the one- if one is able to identifythe dynamicallyactivestructures
dimensionalcase;that is, its spectrumis not entirely constitutingturbulentflowsand classifytheir elementary
supportedon the positivequadrant (althoughwe still interactions,then one can define appropriate condi-
havea singlelobe).Manipulating
II by changing
0 tional averagingproceduresby which statisticalobserv-
allows us to change the directional selectivityof the ablescan be constructed.Describingand followingthe
wavelet.For example,
by choosing II - (to0,
to20)
= evolutionof these observableswill then point out what
toO(cos
0, sin0), too_>5, 0 -< 0 -< 2r, we get the type of nonlinear averagingis needed to go from the
wavelet transform Navier-Stokesequationsto the fully developedturbu-
lence equations,a problemwhich still remainsopen. A
detailed discussionof open problemsin turbulencead-
Wf(X,
t)= j(to,to2) dressedusingthe waveletsas well as a historicalsurvey
of applicationsis givenby Farg [1992a](see alsoFarg
[1992b,c], Farg et al. [1990,1996],Eversonet al. [1990],
exp{-X2I(to
)2+(to2
)2]/2} andBerkoozet al. [1992]).
Two-dimensionalorthogonalwaveletshave been de-
exp [i(tot + to2t2)]dtodto2. (43) veloped under the two-dimensional multiresolution
framework [Mallat, 1989a, b; Daubechies,1988, 1992;
That is, the wavelettransformWf(X,t) extractsthe Meyer, 1992, 1993b]. The mathematicaldetails are be-
frequencycontentsof the functionf(t) aroundthe fre- yondthe scopeof this review,and the reader is referred
quencycoordinates (to0/X,
to20/X)
__(toocos0/X, toosin to the above cited publicationsfor a full accountor to
0/X) with a radialuncertainty
of cr,t
= l/X, at the Kumar and Foufoula-Georgiou[1993a] for a brief de-
locationt. Therefore, by fixingX and traversingalong0, scription.Here we will concentrateon a few geophysical
directional information at a fixed scale X can be ex- applications. KumarandFoufoula-Georgiou [1993a,b, c]
tracted, and by xing 0 and traversingalong X, scale applieda two-dimensionalorthogonalwavelettransform
information in a fixed direction can be obtained. Some to segregatespatial rainfall into multiscalelocal aver-
extensivework has been done in the area of image agesand multiscalelocal fluctuations.By analyzingsev-
processing
usingdirectionallyselectivewavelets,suchas eral radar-observedmesoscaleconvectivesystemsin
the two-dimensional Morlet wavelet, in the context of Oklahomathey concludedthat the (so-defined)rainfall
image processing[seeAntoine et al., 1992, 1993, and fluctuationsexhibitscaleinvariance(simplescaling)and
referencestherein]. This can be potentially applied to can be modeledthrough a classof stabledistributions.
the studyof geophysical processes.Kumar [1995]useda The statisticalparameterizationof thesefluctuationswas
2-D Morlet waveletto characterizeanisotropyin radar- furtherstudiedbyPericaandFoufoula-Georgiou [1996a],
depictedspatialrainfall by studyingthe fraction of en- whofoundthat (1) the standardizedrainfallfluctuations,
ergy in different directionsat different scales.It was that is, the rainfall fluctuationsdivided by the corre-
found that the methodologyrevealed even the subtle sponding-scaleaverage rainfall intensities, exhibited
presenceof scale-space anisotropyin random fields.It normalityand simplescalingbetweenthe scalesof 4 x 4
wasconcludedthat rainfall fieldsmight showanisotropic and64 x 64km2and(2) thestatistical
parameterization
structurethat might not be obviousfrom a typicalspec- of thesefluctuationswasstronglyrelatedto a measureof
tral analysisand that this informationmight be impor- the convectiveinstabilityof the prestormenvironment,
tant in samplingand modeling. namely, the convective available potential energy
Often the directionalselectivityofferedby the Morlet (CAPE). On the basisof theserelationshipsa multiscale
wavelet is not desired,and one wishesto pick frequen- disaggregationmodel of spatial rainfall was proposed
cieswith no preferentialdirection.Dallard and Spedding [Pericaand Foufoula-Georgiou, 1996b].The modeluses
[1993]defineda waveletby modifyingthe Morlet wave- an inversewavelet transform(IWT) to obtain rainfall
let and calledit the halo waveletbecauseof its shapein intensitiesat any scalesmallerthan an initial scale(e.g.,
the Fourier space.The waveletitself is definedthrough from64x 64downto4 x 4 km2rainfallaverages),
given
its Fourier transform the large-scalerainfall averageand the value of CAPE
(which is used to predict the self-similarparameteriza-
(II) = exp (44) tions of rainfallfluctuations).Evaluationof the modelin
midlatitudemesoscaleconvectivesystemsshowedthat it
where K is a normalizingconstant.As can be seenfrom is capable of reconstructingthe small-scalestatistical
the above expression,this wavelet has no directional variability of rainfall as well as the fraction of area
specificity. coveredby rain. Plate 1 showsone examplewhere the
Two-dimensionalwaveletshave found numerousap- IWT modelwasusedto disaggregate (downscale)rain-
plicationsin the study of turbulence.The basic idea fall from64 x 64 km2 averages downto 4 x 4 km2
406 Kumarand Foufoula-Georgiou'WAVELETANALYSIS 35, 4 / REVIEWSOF GEOPHYSICS
Original activity tends to be affected by the diurnal cycle of

heating more stronglythan the larger-scalestratiform
precipitation[Belland Suhasini,1994].One of the Trop-
ical Rainfall MeasuringMission (TRMM) objectivesis
64x64 km
to separatethe observedprecipitationinto its convective
and stratiform components,and several methods of
Simulated
achievingthis have been proposed[e.g., see Tokayand
Short,1996;Steineret al., 1995].Somepreliminaryresults
usinga cosinepackettransform,whichis a variant of the
wavelet packet transform [Coifman and Meyer, 1991],
32x32 km showthe potential of addressingthis problem using a
wavelet-basedmethod.Figure 16 showsa 5-min aggre-
gated squall line rainfall observedin Norman, Okla-
homa,on May 27, 1987(seeKumarand Foufoula-Geor-
giou [1993a] for details about the data set).
Superimposedon it is a grid which showsthe scalesof
16x 16 km
the basis functions found to optimally represent the
image.As is clearlyseen,small-scaleconvectiveactivity
is identified through layering of small boxes, and the
regionsbounded by larger boxescorrespondto strati-
form activity.Researchis currentlyunderwayto identify
the optimal criteria to demarcate the convectiveand
stratiformregions.
8x8 km
7. ON THE CHOICE OF WAVELETS
Different categoriesof wavelets,suchas continuous,

discrete,orthogonal,etc., and varioustypesof wavelets
4x4 km
Plate 1. The June 27, 1985, storm over Kansas-Oklahoma at

0300 UTC. The bottom figure in the left column showsthe
originalradardataat 4 x 4 km2 resolution.
Fromthesedata,
rainfall fields at lower and lower resolutions(up to 64 x 64
km2 averages)
wereobtained
byaveraging,
andthesefieldsare
shownin the left column(upscaling).Then, usingthe 64 x 64
km2 fieldandthedownscaling
scheme
of PericaandFoufoula-
Georgiou[1996b], rainfall fields at higher resolutionswere
reconstructed
downto the resolution
of 4 x 4 km2. A good
agreement is seen between the rain patterns and the areas
covered by rain of the simulated and original fields at all
resolutions.A more rigorousquantitativecomparisonof sev-
eral statisticalmeasuresof the original and simulatedfieldsis
givenbyPericaandFoufoula-Georgiou [1996b].(Adaptedfrom
Pericaand Foufoula-Georgiou [1996b].)
Figure 16. Identificationof different scalesof activity in a

averages.It is seen that the disaggregatedfields at all squall line storm. In the backgroundis a 5-min averaged
intermediate scales compare well with actual fields. rainfall intensity (in millimeters per hour) of a squall line
rainfall observedin Norman, Oklahoma, on May 27, 1987. A
More details and a formal statisticalcomparisonare
radial coverageof 230 km from the radar site is depicted.
givenby Pericaand Foufoula-Georgiou [1996b]. Superimposedon it is a grid of cellscalled Heisenbergboxes
A problem of significantinterestin the studyof pre- that showsthe scalesof the cosinepacketbasisfunctionsfound
cipitationfieldsis the segregationof small-scaleconvec- to optimallycharacterizethe image.The smaller-scaleconvec-
tive activityfrom the larger-scalestratiform precipita- tive activityis identifiedthroughlayeringby small boxes,and
tion. This is of considerableinterest in studyingthe the regionboundedby larger boxescorrespondsto stratiform
diurnal effect of heatingon precipitation,as convective activity.
quadratic
spline
wavelet
I
.....cubic
spline
wavelet
iiii
Figure 17. (top) Antisymmetricquadraticspline
(solid line) and symmetriccubic spline (dashed
lines) wavelets.(bottom) Antisymmetric(long-
_
dashedlines) and symmetric(short-dashed lines)
wavelet transformsof a simulatedsignal (solid
line)at thescale23.(AdaptedfromHagelberg
and
Gamage[1994].)(Reprintedby permissionof Ac-
ademicPress.)
Time (s)
within eachcategoryprovidea multitudeof optionsfor Wavelet framesalsohave attractivesamplingproperties

us to choosefrom when analyzinga processof interest. [Benedetto,1993] and are useful when qualitative or
There are severalconsiderations
we may use in making exploratoryanalysisis required at small incrementsof
our choice,for example,symmetricversusantisymmetric scaledue to the abilityto perform analysisat scalesthat
wavelets; continuouswavelets or discretewavelet frames are finer than dyadicincrements.
versus orthogonal wavelets; irregular versus smooth An irregular or even discontinuouswavelet such as
wavelets;physicaldomain(time or space)versusFourier the Haar wavelet often provides a good and simple
domain considerations;and choice of an appropriate choice for applicationswhere the processhas sharp
wavelet once a given classis chosen. variations.More sophisticatedsmootherwaveletssome-
Hagelberg and Gamage[1994]haveillustratedthat the times do not provide a better alternative.For example,
magnitudeof the wavelet transformusinga symmetric Figures9c and 9d illustratethe time-scaleanalysisof the
waveletis large at the boundariesof the transitionwhile rainfall time seriesusingthe D8 wavelet.In comparison
that using antisymmetricwaveletsis large at the center to the Haar wavelet(Figures9a and 9b) the numberof
of the transition(seeFigure 17). This showsthat we can coefficientsrequiredto describethe data is comparable
emphasizea region either of sharp transition or of (Figures9b and 9d), showingthat at leastfor thesedata,
stationaryactivityby appropriatechoiceof the wavelet. smootherwaveletsoffer no significantadvantagedue to
The choice between continuous wavelets or discrete the irregular nature of the time series.
wavelet frames and orthogonalwavelets is guided by When strong localizationpropertiesin the Fourier
considerationsof the role of redundancy.When we need domain are desired for applicationsin filtering, the
quantitativeinformation about the process,often or- choice should be guided by consideringthe spectral
thogonalwaveletsprovide the best choice.However, in propertiesof the wavelets.For example,althoughthe
applicationssuchas noise suppression,redundantrep- Haar waveletis conceptuallysimpleto understandand
resentationof wavelet framesis an appropriatechoice. algorithmicallyeasy to implement, its spectrumis not
well localized,therebymakingit inappropriatefor filter- on the other hand, they provide a tool for time-scale
ing applications. unfoldingof the characteristics
of the process.We dis-
Given a particular classof wavelets,such as Dau- cussedseveralproperties and applicationsof continu-
bechies'[1988]orthogonalwavelets,it is often difficultto ous, discrete, and orthogonalwavelet transforms,the
decidewhich specificwaveletto usewithin that class.To three main classifications of wavelet transforms. We
addressthis problem, Goel and Vidakovic[1994] ob- pointed out a major limitation of wavelet transforms,
served that our choice should be the wavelet that most
that is, the lack of decouplingbetween the scale and
"disbalances"the energyof the signal,that is, the wave- frequencyparameters.Wavelet packetswere developed
let that providesthe descriptionof the processin the to providethisdecoupling,andtheythusprovidea more
least number of coefficients(see also Figure 9). They refinedtool for the studyof processes. We discussed this
have developeda thresholdingschemecalled Lorentz
decouplingand some applicationsof wavelet packets.
thresholdingto identify the most significantcoefficients
Along with the mathematicalresultsthat are potentially
and the optimal waveletfor the analysis[seealsoKatul
usefulfor geophysics, our emphasishasbeen on review-
and Vidakovic,1996].
ing the resultsand insightsdevelopedthrough applica-
Clearly, our choiceof the analyzingwaveletis deter-
mined by a combinationof the above considerations,
tionsto geophysical processes.We havediscussed appli-
cations of wavelets in fractal, multifractal, and self-
and the appropriatechoiceshouldbe made andjustified
on a caseby casebasis. similar stochasticprocesses,detection of singularities,
analysisof nonstationaryprocesses,data compression
and filtering, and solutionof partial differential equa-
tions.Geophysicalapplicationsdiscussed related to tur-
bulence, canopy cover, spatial and temporal rainfall,
8. SUMMARY AND CONCLUSIONS seafloor bathymetry, ocean wind waves, and remote
sensingimaging,amongothers.It is anticipatedthat in
The purposeof many geophysicalstudiesis to under- the near future we will see an explosionof the use of
stand the physicsand underlying structure of natural waveletsfor the study,analysis,and modelingof geo-
processes and to build modelsthat capturesomeaspects physicalprocesses. Judiciouslyused,this higher level of
of these processes.Often this is achievedby analyzing sophistication in our methodsof analysiswill bring new
observationsof the process,extractingimportant fea- insightsand understandingof many complexphenom-
tures regardingits morphologicaland statisticalstruc- ena around us.
ture, and usingthis informationfor model building.On The detailed discussionof numericalalgorithmsfor
some occasions,physicalconsiderationsdirectly guide implementation of wavelet and wavelet packet trans-
model formulation, and in such cases,observations are forms was outside the scope of this paper. A basic
usedto validate or further refine the postulatedmodel. algorithm for the orthogonalwavelet transformis dis-
Most scientists that have been involved with data
cussedin the appendix.Here we only give the reader
analysisand model buildingwill attestto the fact that it
somekey references.A fast algorithmfor implementa-
is as much art as scienceto model a complexnatural
tion of the orthogonalwavelettransformwasdeveloped
process.Certain assumptionshave to be alwaysmade,
by Mallat [1989a,b] (see also a brief summaryof the
and certain aspectsof the processvariabilitymust often
algorithmin Appendix C of Kumar and Foufoula-Geor-
be ignored, dependingon the purpose of modeling.
Mathematicallyrigoroustoolsof analysisthat can point giou [1994]). An implementationalgorithmfor the dis-
to important featuresof a processand reveal structure crete nonorthogonal wavelet transform is given by
not apparentfrom direct observationare a key compo- Shensa [1993].Algorithmsandprogramsfor waveletand
nent of processunderstanding.For geophysicalpro- wavelet packet applicationsare given by Wickerhauser
cesses,in particular,toolsthat offer the ability to exam- [1994] [see alsoPresset al., 1992].Also, a wavelettrans-
ine the variability of a processat different scalesare form module is availablethrougha commercialpackage
especiallyimportant.The wavelettransformofferssuch called Splus (available from StatSciDivision of Math-
a tool and hasalreadyprovenusefulin the studyof many Soft, Inc., Seattle, Washington) for exploratoryand ad-
processes in diverseareasof scienceand engineering. vanced data analysis. The wavelet transform has also
In thispaperwe havefocusedon presentingthe most been recentlyincorporatedinto signalprocessing pack-
important properties of wavelet transformsthat make agessuchas MATLAB (an older versionis availableby
them attractive for geophysicalapplications.The key anonymousftp from simplicity.stanford.edu).Other
reasonfor the widespreadapplicationof wavelet trans- wavelet-relatedsoftwareis often availablefrom anony-
formsis the propertyof time-frequencylocalizationand mousftp sites(e.g., see Kumar and Foufoula-Georgiou
its ramifications.It is interestingto note that by changing [1994] for a list). The reader is encouragedto experi-
our perspectivewe can use the same formulation for mentwith thesepackagesfor hands-onunderstandingof
different applications.On the one hand, wavelet trans- the wavelet analysiscapabilitiesand their usefulnessin
formsprovidea tool for time-frequencylocalization,and studyinggeophysical processes.
35, 4 / REVIEWSOF GEOPHYSICS Kumar and Foufoula-Georgiou'WAVELETANALYSIS , 409
APPENDIX: COMPUTATIONAL We also thank Venugopal Vuruputur for many useful com-
ASPECTS OF
ORTHOGONAL WAVELET TRANSFORMS mentson an earlierdraft of thismanuscriptandMarc Parlange
and Gabriel Katul for providingus with the surfaceflux mea-
surementsin Owens Valley.
The algorithmfor implementationof the multireso-
JamesA. Smith was the editor responsiblefor this paper.
lution wavelet transform is simple. From a data se-
He and the authors thank Gabriel Katul and an anonymous
quence{c} (say,at resolution
levelm = 0) corre- reviewer for their technical reviews.
spondingto a functionf(t) we construct
Pof(t)- c,d2(t-
n) (45)
n
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WAVELET ANALYSIS FOR

Praveen Kumar Efi Foufoula-Georgiou

Abstract. Wavelettransforms originatedin geophysicssensedhydrologicfluxes,atmosphericturbulence,can-

CONTENTS and mathematicscommunitywith their versatileappli-

Copyright1997 by the American GeophysicalUnion. Reviewsof Geophysics,35, 4 / November 1997

2. TIME-FREQUENCY AND TIME-SCALE that is, an oversampledversion of a function does not

has the same shapefor all values of X. One may also

2.3. WaveletTransforms and Time-ScaleAnalysis Time

representsa family of functionscalledwavelets.Here X

0.5 .....................> - ........................

compact support, or sufficientlyfast decay, to obtain q(t)- -l/4e-ite-t2/2co o>5. (8)

q(t)- -1/4(1 -- t2)e-t2/2.

t) onecanchooseX = X, wherem is an integerand2to waveletcoefficientsin a neighborhoodare correlatedto

0.0 0.2 0.4 0.6 0.8 1.0 0.0 0.2 014

Figure 7. (left) The Haar waveletand (right) the corresponding

process)into components usingbasisfunctions(suchas

thingdifferentaboutthe processor enableusto perform

scalefeatures,with small-scalefeaturesaccountingfor a Also, it is noted that there is not a significantdifference

0 500 1000 1500 2000 2500 I 5 10 50 100

wherea[nI is the nth largestabsolute

4.1. ExploratoryData Analysis

nonstationarityand the dominant scalesof variation

ijiii!iiiii Illi , ........

20 40 60 80 100 10 10 160 0:0 0:2 0;4 0:6 0;8 1;0

difference betweenthewaveletandFourierdecomposi- Scalethresholdpartitioningconsists of reconstructing

Hagelbergand Gamage[1994]usedthe maximaof the

4.3. Self-Similar and Fractal Processes Georgiou[1993a,Appendix B] further showedthat the

The WVSx(t, to) is an energydensityfunctionlike the 5. WAVELET PACKETSAND TIME-

Figure 13. Wavelet packetsgenerated

rithm. IIf(t)l I<g%qSn)l

2(00 4C00 6(00 8(00

Figure14. (top) Rainfalltimeseriesobserved at a pointin IowaCityon December2, 1990.The dataare

locity,density,temperature,etc.)exhibitssignificantcor- convectiveand synopticscalesusingthis method.This

They found that the most significantwaveletpacket An analogousinversionformula alsoholds,that is,

6. TWO-DIMENSIONAL APPLICATIONS q(t)

where1 - (tot, 002)is an arbitrarypoint on the two-

Original activity tends to be affected by the diurnal cycle of

7. ON THE CHOICE OF WAVELETS

Different categoriesof wavelets,suchas continuous,

Plate 1. The June 27, 1985, storm over Kansas-Oklahoma at

Figure 16. Identificationof different scalesof activity in a

within eachcategoryprovidea multitudeof optionsfor Wavelet framesalsohave attractivesamplingproperties

Venugopal,V., and E. Foufoula-Georgiou,Time-frequency- two-pointboundavalue,problems,Numer.Math.,63(1),

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