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...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2018-07-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2227-7390/6/7/124 |