Independent multiresolution component analysis and matching pursuit
DOI10.1016/S0167-9473(02)00217-7zbMATH Open1429.62386MaRDI QIDQ951876FDOQ951876
Authors: Enrico Capobianco 
Publication date: 4 November 2008
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
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- scientific article; zbMATH DE number 1233949
financial time seriesfeature detectionmatching pursuitmultiresolution analysisovercomplete dictionariesindependent and sparse componentslatent variable systems
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)
Cites Work
- Ideal spatial adaptation by wavelet shrinkage
- Independent component analysis, a new concept?
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
- Adapting to Unknown Smoothness via Wavelet Shrinkage
- Statistical Properties and Uses of the Wavelet Variance Estimator for the Scale Analysis of Time Series
- Non-parametric curve estimation by wavelet thresholding with locally stationary errors
- Ten Lectures on Wavelets
- Title not available (Why is that?)
- Matching pursuits with time-frequency dictionaries
- Entropy-based algorithms for best basis selection
- Multiresolution Approximations and Wavelet Orthonormal Bases of L 2 (R)
- Title not available (Why is that?)
- Wavelets, approximation, and statistical applications
- Minimax estimation via wavelet shrinkage
- Atomic decomposition by basis pursuit
- Sparse components of images and optimal atomic decompositions
- Blind source separation by sparse decomposition in a signal dictionary
- Title not available (Why is that?)
- High resolution pursuit for feature extraction
- Statistical analysis of financial volatility by wavelet shrinkage
- Title not available (Why is that?)
Cited In (7)
- Second special issue on computational econometrics
- Independent component analysis and resolution pursuit with wavelet and cosine packets
- FUNCTIONAL APPROXIMATION IN MULTISCALE COMPLEX SYSTEMS
- Bi-Iterative Algorithm for Extracting Independent Components From Array Signals
- Sparse modeling of volatile financial time series via low-dimensional patterns over learned dictionaries
- Dimensionality reduction and greedy learning of convoluted stochastic dynamics
- ON PORTFOLIO SELECTION UNDER EXTREME RISK MEASURE: THE HEAVY-TAILED ICA MODEL
Uses Software
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