Mixed _2 and _1-norm regularization for adaptive detrending with ARMA modeling

DOI10.1016/J.JFRANKLIN.2017.12.009zbMATH Open1393.93084OpenAlexW2783850261MaRDI QIDQ1661291FDOQ1661291

Y. Aharonov

Publication date: 16 August 2018

Published in: Journal of the Franklin Institute (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jfranklin.2017.12.009

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zbMATH Keywords

penalty functionsadaptive detrending with ARMA modelingdetrending a time seriesnoncausal filtering techniques

Mathematics Subject Classification ID

Stochastic programming (90C15) Time series analysis of dynamical systems (37M10) Adaptive control/observation systems (93C40) Time-scale analysis and singular perturbations in control/observation systems (93C70) Optimal stochastic control (93E20)

Cites Work

• Analysis of Financial Time Series
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• Atomic Decomposition by Basis Pursuit
• Exact formulas for the Hodrick-Prescott filter
• $\ell_1$ Trend Filtering
• A Bayesian approach to sparse dynamic network identification
• Model identification of a network as compressing sensing
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• Diffusion Sparse Least-Mean Squares Over Networks
• A class of fast and accurate deterministic trend decomposition in the spectral domain using simple and sharp diffusive filters
• MEMSWear-biomonitoring system for remote vital signs monitoring
• <formula formulatype="inline"><tex Notation="TeX">${{\bf L}_1}$</tex></formula>-Constrained Normalized LMS Algorithms for Adaptive Beamforming

Cited In (1)

• Efficient iterative method for SOAV minimization problem with linear equality and box constraints and its linear convergence

Uses Software

• PDCO
• FinTS
• PhysioToolkit

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