通过动态多变量复杂波段值来否定非静止信号
Kim C Raath1, Katherine B Ensor2, Alena Crivello3
1Imperative Global.
Entropy (Basel, Switzerland)
|November 24, 2023
概括
本研究介绍了WaveL2E,这是一种用于否定金融时间序列的新型连续波量变换方法. 它有效地将信号和噪声分开,同时动态估计差异,优于传统技术.
科学领域:
- 计量经济学 计量经济学
- 信号处理 信号处理
- 时间序列分析时间序列分析
背景情况:
- 经济和金融时间序列分析需要处理动态,非静态数据的方法.
- 使用离散波段转换 (DWT) 的传统波段方法提供静态值,可能缺少动态噪声差异.
- 现有的技术很难在不同的时间尺度和局部窗口中有效地消除时间序列.
研究的目的:
- 开发一种基于波形小组的先进方法,用于消除非静态金融时间序列的负值.
- 引入一种新的连续波纹变换 (CWT) 方法,以动态估计噪声方差.
- 改进财务数据中信号和噪声组件的分离.
主要方法:
- 使用连续波形变换 (CWT) 进行时间序列分解.
- 开发了一个动态优化的多变量值技术 (WaveL2E).
- 同时分离信号和噪声组件,同时估计动态噪声差异.
主要成果:
- 拟议的WaveL2E方法与既有技术相比,显示出更高的性能.
- 实现了改进的无效化,特别是对于高频,信号丰富的金融时间序列.
- 成功捕获动态噪声差异,这是传统DWT方法的局限性.
结论:
- WaveL2E在消除非静态财务时间序列方面取得了重大进展.
- 该方法能够动态估计噪声变异,从而提高信号和噪声的分离.
- 这种方法特别有利于分析复杂的金融市场数据.
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