Decomposition of Dynamical Signals into Jumps, Oscillatory Patterns, and Possible Outliers

Decomposition of Dynamical Signals into Jumps, Oscillatory Patterns, and Possible Outliers

In this note, we present a component-wise algorithm combining several recent ideas from signal processing for simultaneous piecewise constants trend, seasonality, outliers, and noise decomposition of dynamical time series. Our approach is entirely based on convex optimisation, and our decomposition...

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Bibliographic Details
Main Authors: Elena Barton, Basad Al-Sarray, Stéphane Chrétien, Kavya Jagan
Format: Article
Language:English
Published: MDPI AG 2018-07-01
Series:Mathematics
Subjects:
dynamical systems
time series
trend filtering
robust principal component analysis (PCA)
outlier extraction
Prony’s method
Online Access:http://www.mdpi.com/2227-7390/6/7/124

Internet

http://www.mdpi.com/2227-7390/6/7/124

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