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Independent Multiresolution Component Analysis and Matching Pursuit

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  • Capobianco, Enrico

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  • Capobianco, Enrico, 2003. "Independent Multiresolution Component Analysis and Matching Pursuit," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 385-402, March.
    • Handle: RePEc:eee:csdana:v:42:y:2003:i:3:p:385-402
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    References listed on IDEAS

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    1. Enrico Capobianco, 1999. "Statistical Analysis of Financial Volatility by Wavelet Shrinkage," Methodology and Computing in Applied Probability, Springer, vol. 1(4), pages 423-443, December.
    2. Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 115-158, June.
    3. Iain M. Johnstone & Bernard W. Silverman, 1997. "Wavelet Threshold Estimators for Data with Correlated Noise," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 59(2), pages 319-351.
    4. Rainer Von Sachs & Brenda Macgibbon, 2000. "Non‐parametric Curve Estimation by Wavelet Thresholding with Locally Stationary Errors," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 27(3), pages 475-499, September.
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    1. Capobianco, Enrico, 2008. "Kernel methods and flexible inference for complex stochastic dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(16), pages 4077-4098.

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