Computationally Efficient Atomic Representations for Nonstationary Stochastic Processes

DOI10.1142/S0219691303000177MaRDI QIDQ4474551zbMATH OpenOpenAlexFDO

Authors Enrico Capobianco

Publication date 12 July 2004

Published in International Journal of Wavelets, Multiresolution and Information Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219691303000177

zbMATH Keywords

best orthogonal basisFrames and overcomplete dictionariesindependent and sparse component analysismatching pursuitnonstationary stochastic processes

Mathematics Subject Classification ID

Stochastic processes (60G99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods for wavelets (65T60)

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Cites work

• Atomic decomposition by basis pursuit
• Blind source separation by sparse decomposition in a signal dictionary
• Computational signal processing with wavelets
• Empirical volatility analysis: Feature detection and signal extraction with function dictionaries
• High resolution pursuit for feature extraction
• scientific article; zbMATH DE number 1375199 (Why is no real title available?)
• scientific article; zbMATH DE number 108512 (Why is no real title available?)
• scientific article; zbMATH DE number 554499 (Why is no real title available?)
• Ideal spatial adaptation by wavelet shrinkage
• Independent component analysis, a new concept?
• Long-range Dependence: Revisiting Aggregation with Wavelets
• Matching pursuits with time-frequency dictionaries
• Sparse components of images and optimal atomic decompositions
• Ten Lectures on Wavelets
• WAVELET TRANSFORMS FOR THE STATISTICAL ANALYSIS OF RETURNS GENERATING STOCHASTIC PROCESSES

Cited in

(1)

• EXPLORING MULTI-RESOLUTION AND MULTI-SCALING VOLATILITY FEATURES

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