Independent multiresolution component analysis and matching pursuit

DOI10.1016/S0167-9473(02)00217-7MaRDI QIDQ951876zbMATHFDO

Authors Enrico Capobianco

Publication date 4 November 2008

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

zbMATH Keywords

financial time seriesfeature detectionmatching pursuitmultiresolution analysisovercomplete dictionariesindependent and sparse componentslatent variable systems

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

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• Atomic decomposition by basis pursuit
• Blind source separation by sparse decomposition in a signal dictionary
• Entropy-based algorithms for best basis selection
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• Independent component analysis, a new concept?
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• Matching pursuits with time-frequency dictionaries
• Minimax estimation via wavelet shrinkage
• Multiresolution Approximations and Wavelet Orthonormal Bases of L 2 (R)
• Non-parametric curve estimation by wavelet thresholding with locally stationary errors
• Sparse components of images and optimal atomic decompositions
• Statistical Properties and Uses of the Wavelet Variance Estimator for the Scale Analysis of Time Series
• Statistical analysis of financial volatility by wavelet shrinkage
• Ten Lectures on Wavelets
• Wavelets, approximation, and statistical applications

Cited in

(7)

• Dimensionality reduction and greedy learning of convoluted stochastic dynamics
• Second special issue on computational econometrics
• FUNCTIONAL APPROXIMATION IN MULTISCALE COMPLEX SYSTEMS
• Bi-Iterative Algorithm for Extracting Independent Components From Array Signals
• ON PORTFOLIO SELECTION UNDER EXTREME RISK MEASURE: THE HEAVY-TAILED ICA MODEL
• Independent component analysis and resolution pursuit with wavelet and cosine packets
• Sparse modeling of volatile financial time series via low-dimensional patterns over learned dictionaries

Describes a project that uses

Uses Software

• PDCO

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