Sparse Kalman filtering approaches to realized covariance estimation from high frequency financial data.
Michael HoJack XinPublished in: Math. Program. (2019)
Keyphrases
- high frequency
- kalman filtering
- financial data
- low frequency
- kalman filter
- visual quality
- high resolution
- wavelet transform
- subband
- wavelet coefficients
- discrete wavelet transform
- high frequency components
- computer vision
- stock market
- filtering algorithm
- particle filtering
- wavelet domain
- visual tracking
- image data
- image processing