Financial time series analysis and forecasting with Hilbert-Huang transform feature generation and machine learning

DOI10.1002/ASMB.2625MaRDI QIDQ6579697FDO

Authors Tim Leung, Theodore Zhao

Publication date 25 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

machine learningtime seriesHilbert transformempirical mode decomposition

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• Adaptive data analysis via sparse time-frequency representation
• An optimization based empirical mode decomposition scheme
• Applications of Hilbert–Huang transform to non‐stationary financial time series analysis
• Data-driven time-frequency analysis
• Forecasting nonstationary time series based on Hilbert-Huang transform and machine learning
• Robust Locally Weighted Regression and Smoothing Scatterplots
• Sparse mean-reverting portfolios via penalized likelihood optimization
• The Elements of Statistical Learning
• The empirical mode decomposition and the Hilbert spectrum for nonlinear and non-stationary time series analysis

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