TREND FILTERING: EMPIRICAL MODE DECOMPOSITIONS VERSUS ℓ1 AND HODRICK–PRESCOTT

DOI10.1142/S1793536911000751zbMath1227.62081MaRDI QIDQ3101548

Patrick Flandrin, Azadeh Moghtaderi, Pierre Borgnat

Publication date: 29 November 2011

Published in: Advances in Adaptive Data Analysis (Search for Journal in Brave)

zbMATH Keywords

empirical mode decomposition

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• $\ell_1$ Trend Filtering
• The empirical mode decomposition and the Hilbert spectrum for nonlinear and non-stationary time series analysis