Eigenvalue filtering in VAR models with application to the Czech business cycle

We propose the method of eigenvalue filtering as a new tool to extract time series subcomponents (such as business-cycle or irregular) defined by properties of the underlying eigenvalues. We logically extend the Beveridge-Nelson decomposition of the VAR time-series models focusing on the transient component. We introduce the canonical state-space representation of the VAR models to facilitate this type of analysis. We illustrate the eigenvalue filtering by examining a stylized model of inflation determination estimated on the Czech data.We characterize the estimated components of CPI, WPI and import inflations, together with the real production wage and real output, survey their basic properties, and impose an identification scheme to calculate the structural innovations. We test the results in a simple bootstrap simulation experiment. We find two major areas for further research: first, verifying and improving the robustness of the method, and second, exploring the method’s potential for empirical validation of structural economic models. JEL Classification: C32, E32Beveridge-Nelson decomposition, business cycle, eigenvalues, filtering, inflation, time series analysis

Gröbner bases and wavelet design

AbstractIn this paper, we detail the use of symbolic methods in order to solve some advanced design problems arising in signal processing. Our interest lies especially in the construction of wavelet filters for which the usual spectral factorization approach (used for example to construct the well-known Daubechies filters) is not applicable. In these problems, we show how the design equations can be written as multivariate polynomial systems of equations and accordingly how Gröbner algorithms offer an effective way to obtain solutions in some of these cases

Graph Signal Processing: Overview, Challenges and Applications

Research in Graph Signal Processing (GSP) aims to develop tools for processing data defined on irregular graph domains. In this paper we first provide an overview of core ideas in GSP and their connection to conventional digital signal processing. We then summarize recent developments in developing basic GSP tools, including methods for sampling, filtering or graph learning. Next, we review progress in several application areas using GSP, including processing and analysis of sensor network data, biological data, and applications to image processing and machine learning. We finish by providing a brief historical perspective to highlight how concepts recently developed in GSP build on top of prior research in other areas.Comment: To appear, Proceedings of the IEE

Forecasting with many predictors using message passing algorithms

Machine learning methods are becoming increasingly popular in economics, due to the increased availability of large datasets. In this paper I evaluate a recently proposed algorithm called Generalized Approximate Message Passing (GAMP) , which has been very popular in signal processing and compressive sensing. I show how this algorithm can be combined with Bayesian hierarchical shrinkage priors typically used in economic forecasting, resulting in computationally efficient schemes for estimating high-dimensional regression models. Using Monte Carlo simulations I establish that in certain scenarios GAMP can achieve estimation accuracy comparable to traditional Markov chain Monte Carlo methods, at a tiny fraction of the computing time. In a forecasting exercise involving a large set of orthogonal macroeconomic predictors, I show that Bayesian shrinkage estimators based on GAMP perform very well compared to a large set of alternatives

Lossless and low-cost integer-based lifting wavelet transform

Discrete wavelet transform (DWT) is a powerful tool for analyzing real-time signals, including aperiodic, irregular, noisy, and transient data, because of its capability to explore signals in both the frequency- and time-domain in different resolutions. For this reason, they are used extensively in a wide number of applications in image and signal processing. Despite the wide usage, the implementation of the wavelet transform is usually lossy or computationally complex, and it requires expensive hardware. However, in many applications, such as medical diagnosis, reversible data-hiding, and critical satellite data, lossless implementation of the wavelet transform is desirable. It is also important to have more hardware-friendly implementations due to its recent inclusion in signal processing modules in system-on-chips (SoCs). To address the need, this research work provides a generalized implementation of a wavelet transform using an integer-based lifting method to produce lossless and low-cost architecture while maintaining the performance close to the original wavelets. In order to achieve a general implementation method for all orthogonal and biorthogonal wavelets, the Daubechies wavelet family has been utilized at first since it is one of the most widely used wavelets and based on a systematic method of construction of compact support orthogonal wavelets. Though the first two phases of this work are for Daubechies wavelets, they can be generalized in order to apply to other wavelets as well. Subsequently, some techniques used in the primary works have been adopted and the critical issues for achieving general lossless implementation have solved to propose a general lossless method. The research work presented here can be divided into several phases. In the first phase, low-cost architectures of the Daubechies-4 (D4) and Daubechies-6 (D6) wavelets have been derived by applying the integer-polynomial mapping. A lifting architecture has been used which reduces the cost by a half compared to the conventional convolution-based approach. The application of integer-polynomial mapping (IPM) of the polynomial filter coefficient with a floating-point value further decreases the complexity and reduces the loss in signal reconstruction. Also, the “resource sharing” between lifting steps results in a further reduction in implementation costs and near-lossless data reconstruction. In the second phase, a completely lossless or error-free architecture has been proposed for the Daubechies-8 (D8) wavelet. Several lifting variants have been derived for the same wavelet, the integer mapping has been applied, and the best variant is determined in terms of performance, using entropy and transform coding gain. Then a theory has been derived regarding the impact of scaling steps on the transform coding gain (GT). The approach results in the lowest cost lossless architecture of the D8 in the literature, to the best of our knowledge. The proposed approach may be applied to other orthogonal wavelets, including biorthogonal ones to achieve higher performance. In the final phase, a general algorithm has been proposed to implement the original filter coefficients expressed by a polyphase matrix into a more efficient lifting structure. This is done by using modified factorization, so that the factorized polyphase matrix does not include the lossy scaling step like the conventional lifting method. This general technique has been applied on some widely used orthogonal and biorthogonal wavelets and its advantages have been discussed. Since the discrete wavelet transform is used in a vast number of applications, the proposed algorithms can be utilized in those cases to achieve lossless, low-cost, and hardware-friendly architectures