Extraction of instantaneous frequencies and amplitudes in nonstationary time-series data.
Daniel E. SheaRajiv GiridharagopalDavid S. GingerSteven L. BruntonJ. Nathan KutzPublished in: CoRR (2021)
Keyphrases
- non stationary
- financial time series
- instantaneous frequency
- adaptive algorithms
- information extraction
- empirical mode decomposition
- concept drift
- autoregressive
- random fields
- noise level
- blind source separation
- stock price
- discrete valued
- fractional brownian motion
- temporal evolution
- multiresolution
- hidden markov models