Implement a SimpleWavelets package?

[kahaaga]

@Datseris For the wavelet stuff, we depend on Wavelets, which again depends on DSP (a relatively heavy dependency, because it depends on the FFTW library).

I would argue, both for package compilation times , and perhaps for instructive purposes, it would be nice to implement a package SimpleWavelets, analogous to SimpleDiffEq that contains a minimal interface for the maximal overlap discrete wavelet transform (MODWT) that we use here, but with no unneccesary dependencies. I also need some internal pieces of the MODWT machinery for TransferEntropy/CausalityTools that the Wavelets package currently do not offer, so this is high-hanging fruit for me.

What do you think?

[Datseris]

I think it uses FFTW so that it is fast. Can you make your version as fast as Wavelets.jl? I'm not sure how easy it will be, but you can of course try. I do remain just a tiny bit reluctant with going with a new package straight away, perhaps you can start with it here as a new file and then we see if it becomes large enough.