If you need to detect fast changes, then you have to choose wavelet with small support function like D2, otherwise you have to choose wavelet with bigger support function like D8.

Thanks

Haar Wavelets have been successfully used for EEG feature extraction for classification purpose. Refer: http://www.sciencedirect.com/science/article/pii/S0957417415000512

db2 can be helpful in detecting rapid changes in the signal. 

However in the removal of Ocular Artifacts and ambient noise using RLS algorithm, one may use Daubechies db4 as it closely resembles the  EEG signal.