On a scalable nonparametric denoising of time series signals
DOI10.2140/CAMCOS.2018.13.107zbMATH Open1385.37084OpenAlexW2784436087MaRDI QIDQ1746928FDOQ1746928
Authors: Lukáš Pospíšil, Patrick Gagliardini, Illia Horenko, William B. Sawyer 
Publication date: 26 April 2018
Published in: Communications in Applied Mathematics and Computational Science (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/544d9379d60ba350c8f16986e043375a573c9c8c
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Cited In (5)
- Regularized GMM for time-varying models with applications to asset pricing
- Towards a Computationally Tractable Maximum Entropy Principle for Nonstationary Financial Time Series
- Statistical Learning of Nonlinear Stochastic Differential Equations from Nonstationary Time Series using Variational Clustering
- On a computationally scalable sparse formulation of the multidimensional and nonstationary maximum entropy principle
- Mini-workshop: Mathematics of entropic AI in the natural sciences. Abstracts from the mini-workshop held April 7--12, 2024
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