Computationally Efficient Atomic Representations for Nonstationary Stochastic Processes

DOI10.1142/S0219691303000177zbMath1043.62081OpenAlexW2092273390MaRDI QIDQ4474551

Enrico Capobianco

Publication date: 12 July 2004

Published in: International Journal of Wavelets, Multiresolution and Information Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219691303000177

zbMATH Keywords

nonstationary stochastic processesbest orthogonal basismatching pursuitFrames and overcomplete dictionariesindependent and sparse component analysis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes (62M99) Numerical methods for wavelets (65T60) Stochastic processes (60G99)

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