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

DOI10.1002/ASMB.2625MaRDI QIDQ6579697FDOQ6579697

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

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

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