3,896 research outputs found

    Simultaneous denoising and enhancement of signals by a fractal conservation law

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    In this paper, a new filtering method is presented for simultaneous noise reduction and enhancement of signals using a fractal scalar conservation law which is simply the forward heat equation modified by a fractional anti-diffusive term of lower order. This kind of equation has been first introduced by physicists to describe morphodynamics of sand dunes. To evaluate the performance of this new filter, we perform a number of numerical tests on various signals. Numerical simulations are based on finite difference schemes or Fast and Fourier Transform. We used two well-known measuring metrics in signal processing for the comparison. The results indicate that the proposed method outperforms the well-known Savitzky-Golay filter in signal denoising. Interesting multi-scale properties w.r.t. signal frequencies are exhibited allowing to control both denoising and contrast enhancement

    Recovering edges in ill-posed inverse problems: optimality of curvelet frames

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    We consider a model problem of recovering a function f(x1,x2)f(x_1,x_2) from noisy Radon data. The function ff to be recovered is assumed smooth apart from a discontinuity along a C2C^2 curve, that is, an edge. We use the continuum white-noise model, with noise level ε\varepsilon. Traditional linear methods for solving such inverse problems behave poorly in the presence of edges. Qualitatively, the reconstructions are blurred near the edges; quantitatively, they give in our model mean squared errors (MSEs) that tend to zero with noise level ε\varepsilon only as O(ε1/2)O(\varepsilon^{1/2}) as ε→0\varepsilon\to 0. A recent innovation--nonlinear shrinkage in the wavelet domain--visually improves edge sharpness and improves MSE convergence to O(ε2/3)O(\varepsilon^{2/3}). However, as we show here, this rate is not optimal. In fact, essentially optimal performance is obtained by deploying the recently-introduced tight frames of curvelets in this setting. Curvelets are smooth, highly anisotropic elements ideally suited for detecting and synthesizing curved edges. To deploy them in the Radon setting, we construct a curvelet-based biorthogonal decomposition of the Radon operator and build "curvelet shrinkage" estimators based on thresholding of the noisy curvelet coefficients. In effect, the estimator detects edges at certain locations and orientations in the Radon domain and automatically synthesizes edges at corresponding locations and directions in the original domain. We prove that the curvelet shrinkage can be tuned so that the estimator will attain, within logarithmic factors, the MSE O(ε4/5)O(\varepsilon^{4/5}) as noise level ε→0\varepsilon\to 0. This rate of convergence holds uniformly over a class of functions which are C2C^2 except for discontinuities along C2C^2 curves, and (except for log terms) is the minimax rate for that class. Our approach is an instance of a general strategy which should apply in other inverse problems; we sketch a deconvolution example

    Construction of Hilbert Transform Pairs of Wavelet Bases and Gabor-like Transforms

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    We propose a novel method for constructing Hilbert transform (HT) pairs of wavelet bases based on a fundamental approximation-theoretic characterization of scaling functions--the B-spline factorization theorem. In particular, starting from well-localized scaling functions, we construct HT pairs of biorthogonal wavelet bases of L^2(R) by relating the corresponding wavelet filters via a discrete form of the continuous HT filter. As a concrete application of this methodology, we identify HT pairs of spline wavelets of a specific flavor, which are then combined to realize a family of complex wavelets that resemble the optimally-localized Gabor function for sufficiently large orders. Analytic wavelets, derived from the complexification of HT wavelet pairs, exhibit a one-sided spectrum. Based on the tensor-product of such analytic wavelets, and, in effect, by appropriately combining four separable biorthogonal wavelet bases of L^2(R^2), we then discuss a methodology for constructing 2D directional-selective complex wavelets. In particular, analogous to the HT correspondence between the components of the 1D counterpart, we relate the real and imaginary components of these complex wavelets using a multi-dimensional extension of the HT--the directional HT. Next, we construct a family of complex spline wavelets that resemble the directional Gabor functions proposed by Daugman. Finally, we present an efficient FFT-based filterbank algorithm for implementing the associated complex wavelet transform.Comment: 36 pages, 8 figure

    Denoising techniques - a comparison

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    Visual information transmitted in the form of digital images is becoming a major method of communication in the modern age, but the image obtained after transmission is often corrupted with noise. The received image needs processing before it can be used in applications. Image denoising involves the manipulation of the image data to produce a visually high quality image. This thesis reviews the existing denoising algorithms, such as filtering approach, wavelet based approach, and multifractal approach, and performs their comparative study. Different noise models including additive and multiplicative types are used. They include Gaussian noise, salt and pepper noise, speckle noise and Brownian noise. Selection of the denoising algorithm is application dependent. Hence, it is necessary to have knowledge about the noise present in the image so as to select the appropriate denoising algorithm. The filtering approach has been proved to be the best when the image is corrupted with salt and pepper noise. The wavelet based approach finds applications in denoising images corrupted with Gaussian noise. In the case where the noise characteristics are complex, the multifractal approach can be used. A quantitative measure of comparison is provided by the signal to noise ratio of the image

    Analytical formulation of the fractal dimension of filtered stochastic signals

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    International audienceThe aim of this study was to investigate the effects of a linear filter on the regularity of a given stochastic process in terms of the fractal dimension. This general approach, described in a continuous time domain, is new and is characterized by its simplicity. The framework of this problem is general since it emerges when a fractal process undertakes a transformation, as is the case in denoising or measurement processes

    Multifractality of Deutschemark/US Dollar Exchange Rates

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    This paper presents the first empirical investigation of the Multifractal Model of Asset Returns ("MMAR"). The MMAR, developed in Mandelbrot, Fisher, and Calvet (1997), is an alternative to ARCH-type representations for modelling temporal heterogeneity in financial returns. Typically, researchers introduce temporal heterogeneity through time-varying conditional second moments in a discrete time framework. Multifractality introduces a new source of heterogeneity through time-varying local regularity in the price path. The concept of local Holder exponent describes local regularity. Multifractal processes bridge the gap between locally Gaussian (Ito) diffusions and jump-diffusions by allowing a multiplicity of Holder exponents. This paper investigates multifractality in Deutschemark/US Dollar currency exchange rates. After finding evidence of multifractal scaling, we show how to estimate the multifractal spectrum via the Legendre transform. The scaling laws found in the data are replicated in simulations. Further simulation experiments test whether alternative representations, such as FIGARCH, are likely to replicate the multifractal signature of the Deutschemark/US Dollar data. On the basis of this evidence, the MMAR hypothesis appears more likely. Overall, the MMAR is quite successful in uncovering a previously unseen empirical regularity. Additionally, the model generates realistic sample paths, and opens the door to new theoretical and applied approaches to asset pricing and risk valuation. We conclude by advocating further empirical study of multifractality in financial data, along with more intensive study of estimation techniques and inference procedures.Multifractal model of asset returns, multifractal process, compound stochastic process, trading time, time deformation, scaling laws, multiscaling, self-similarity, self-affinity
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