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This paper presents a wavelet representation using baseband signals, by exploiting Kotel'nikov results. Details of how to obtain the processes of envelope and phase at low frequency are shown. The archetypal interpretation of wavelets as an…
Multivariate time series forecasting is crucial across various industries, where accurate extraction of complex periodic and trend components can significantly enhance prediction performance. However, existing models often struggle to…
We consider the problem of fitting a parametric model to time-series data that are afflicted by correlated noise. The noise is represented by a sum of two stationary Gaussian processes: one that is uncorrelated in time, and another that has…
In this paper, we construct the wavelet eigenvalue regression methodology in high dimensions. We assume that possibly non-Gaussian, finite-variance $p$-variate measurements are made of a low-dimensional $r$-variate ($r \ll p$) fractional…
This paper proposes a novel time-frequency warped waveform for short symbols, massive machine-type communication (mMTC), and internet of things (IoT) applications. The waveform is composed of asymmetric raised cosine (RC) pulses to increase…
Side-channel analysis, originally used in cryptanalysis is growing in use cases, both offensive and defensive. Wavelet analysis is a commonly employed time-frequency analysis technique used across disciplines, with a variety of purposes,…
Dimension reduction techniques for multivariate time series decompose the observed series into a few useful independent/orthogonal univariate components. We develop a spectral domain method for multivariate second-order stationary time…
In this paper, we develop a novel large volatility matrix estimation procedure for analyzing global financial markets. Practitioners often use lower-frequency data, such as weekly or monthly returns, to address the issue of different…
We developed a new approach for the analysis of physiological time series. An iterative convolution filter is used to decompose the time series into various components. Statistics of these components are extracted as features to…
While numerous forecasters have been proposed using different network architectures, the Transformer-based models have state-of-the-art performance in time series forecasting. However, forecasters based on Transformers are still suffering…
Many phenomena are described by bivariate signals or bidimensional vectors in applications ranging from radar to EEG, optics and oceanography. The time-frequency analysis of bivariate signals is usually carried out by analyzing two separate…
Monthly and weekly economic indicators are often taken to be the largest common factor estimated from high and low frequency data, either separately or jointly. To incorporate mixed frequency information without directly modeling them, we…
This paper examines a semi-analytical approach for pricing American options in time-inhomogeneous models characterized by negative interest rates (for equity/FX) or negative convenience yields (for commodities/cryptocurrencies). Under such…
We make use of wavelet transform to study the multi-scale, self similar behavior and deviations thereof, in the stock prices of large companies, belonging to different economic sectors. The stock market returns exhibit multi-fractal…
The paper tackles the problem of deriving a topological structure among stock prices from high frequency historical values. Similar studies using low frequency data have already provided valuable insights. However, in those cases data need…
Different investment strategies are adopted in short-term and long-term depending on the time scales, even though time scales are adhoc in nature. Empirical mode decomposition based Hurst exponent analysis and variance technique have been…
A wavelet transform spectrum analyzer operating in real time within the frequency range 3X10^(-5) - 1.3X10^5 Hz has been implemented on a low-cost Digital Signal Processing board operating at 150MHz. The wavelet decomposition of the signal…
Within the context of multivariate time series segmentation this paper proposes a method inspired by a posteriori optimal trading. After a normalization step time series are treated channel-wise as surrogate stock prices that can be traded…
This paper introduces an adaptive filtering process based on shrinking wavelet coefficients from the corresponding signal wavelet representation. The filtering procedure considers a threshold method determined by an iterative algorithm…
Classification of time series signals has become an important construct and has many practical applications. With existing classifiers we may be able to accurately classify signals, however that accuracy may decline if using a reduced…