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In this paper we propose to overcome the problem of spurious regression between fractionally differenced processes by applying the discrete wavelet transform (DWT) to both processes and then estimating the regression in the wavelet domain. The DWT is known to approximately decorrelate heavily...
In this paper, we consider wavelet‐based binary linear classifiers. Both consistency results and implementational issues are addressed. We show that under mild assumptions on the design density wavelet discrimination rules are L2‐consistent. The proposed method is illustrated on synthetic data...
In this paper, we consider the utilization of wavelets in conjunction with state space models. Specifically, the parameters in the system matrix are expanded in wavelet series and estimated via the Kalman Filter and the EM algorithm. In particular this approach is used for switching models. Two...
Partially linear models have a linear part as in the linear regression and a non‐linear part similar to that in the non‐parametric regression. The estimates in Partially Linear Models have been studied previously using traditional smoothing methods such as smoothing spline, kernel and piecewise...
A new method, the Hilbert–Huang Transform (HHT), developed initially for natural and engineering sciences has now been applied to financial data. The HHT method is specially developed for analysing non‐linear and non‐stationary data. The method consists of two parts: (1) the empirical mode...
Scalograms provide measures of signal energy at various frequency bands and are commonly used in decision making in many fields including signal and image processing, astronomy and metrology. This article extends the scalogram's ability for handling noisy and possibly massive data. The proposed...
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