3,106 research outputs found

    Signal analysis using a multiresolution form of the singular value decomposition

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    This paper proposes a multiresolution form of the singular value decomposition (SVD) and shows how it may be used for signal analysis and approximation. It is well-known that the SVD has optimal decorrelation and subrank approximation properties. The multiresolution form of SVD proposed here retains those properties, and moreover, has linear computational complexity. By using the multiresolution SVD, the following important characteristics of a signal may be measured, at each of several levels of resolution: isotropy, sphericity of principal components, self-similarity under scaling, and resolution of mean-squared error into meaningful components. Theoretical calculations are provided for simple statistical models to show what might be expected. Results are provided with real images to show the usefulness of the SVD decomposition

    Wavelets and their use

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    This review paper is intended to give a useful guide for those who want to apply discrete wavelets in their practice. The notion of wavelets and their use in practical computing and various applications are briefly described, but rigorous proofs of mathematical statements are omitted, and the reader is just referred to corresponding literature. The multiresolution analysis and fast wavelet transform became a standard procedure for dealing with discrete wavelets. The proper choice of a wavelet and use of nonstandard matrix multiplication are often crucial for achievement of a goal. Analysis of various functions with the help of wavelets allows to reveal fractal structures, singularities etc. Wavelet transform of operator expressions helps solve some equations. In practical applications one deals often with the discretized functions, and the problem of stability of wavelet transform and corresponding numerical algorithms becomes important. After discussing all these topics we turn to practical applications of the wavelet machinery. They are so numerous that we have to limit ourselves by some examples only. The authors would be grateful for any comments which improve this review paper and move us closer to the goal proclaimed in the first phrase of the abstract.Comment: 63 pages with 22 ps-figures, to be published in Physics-Uspekh

    Wavelets and Fast Numerical Algorithms

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    Wavelet based algorithms in numerical analysis are similar to other transform methods in that vectors and operators are expanded into a basis and the computations take place in this new system of coordinates. However, due to the recursive definition of wavelets, their controllable localization in both space and wave number (time and frequency) domains, and the vanishing moments property, wavelet based algorithms exhibit new and important properties. For example, the multiresolution structure of the wavelet expansions brings about an efficient organization of transformations on a given scale and of interactions between different neighbouring scales. Moreover, wide classes of operators which naively would require a full (dense) matrix for their numerical description, have sparse representations in wavelet bases. For these operators sparse representations lead to fast numerical algorithms, and thus address a critical numerical issue. We note that wavelet based algorithms provide a systematic generalization of the Fast Multipole Method (FMM) and its descendents. These topics will be the subject of the lecture. Starting from the notion of multiresolution analysis, we will consider the so-called non-standard form (which achieves decoupling among the scales) and the associated fast numerical algorithms. Examples of non-standard forms of several basic operators (e.g. derivatives) will be computed explicitly.Comment: 32 pages, uuencoded tar-compressed LaTeX file. Uses epsf.sty (see `macros'

    Non-parametric linear time-invariant system identification by discrete wavelet transforms

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    We describe the use of the discrete wavelet transform (DWT) for non-parametric linear time-invariant system identification. Identification is achieved by using a test excitation to the system under test (SUT) that also acts as the analyzing function for the DWT of the SUT's output, so as to recover the impulse response. The method uses as excitation any signal that gives an orthogonal inner product in the DWT at some step size (that cannot be 1). We favor wavelet scaling coefficients as excitations, with a step size of 2. However, the system impulse or frequency response can then only be estimated at half the available number of points of the sampled output sequence, introducing a multirate problem that means we have to 'oversample' the SUT output. The method has several advantages over existing techniques, e.g., it uses a simple, easy to generate excitation, and avoids the singularity problems and the (unbounded) accumulation of round-off errors that can occur with standard techniques. In extensive simulations, identification of a variety of finite and infinite impulse response systems is shown to be considerably better than with conventional system identification methods.Department of Computin

    Multiresolution approximation of the vector fields on T^3

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    Multiresolution approximation (MRA) of the vector fields on T^3 is studied. We introduced in the Fourier space a triad of vector fields called helical vectors which derived from the spherical coordinate system basis. Utilizing the helical vectors, we proved the orthogonal decomposition of L^2(T^3) which is a synthesis of the Hodge decomposition of the differential 1- or 2-form on T^3 and the Beltrami decomposition that decompose the space of solenoidal vector fields into the eigenspaces of curl operator. In the course of proof, a general construction procedure of the divergence-free orthonormal complete basis from the basis of scalar function space is presented. Applying this procedure to MRA of L^2(T^3), we discussed the MRA of vector fields on T^3 and the analyticity and regularity of vector wavelets. It is conjectured that the solenoidal wavelet basis must break r-regular condition, i.e. some wavelet functions cannot be rapidly decreasing function because of the inevitable singularities of helical vectors. The localization property and spatial structure of solenoidal wavelets derived from the Littlewood-Paley type MRA (Meyer's wavelet) are also investigated numerically.Comment: LaTeX, 33 Pages, 3 figures. submitted to J. Math. Phy

    Nonlinear estimation for linear inverse problems with error in the operator

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    We study two nonlinear methods for statistical linear inverse problems when the operator is not known. The two constructions combine Galerkin regularization and wavelet thresholding. Their performances depend on the underlying structure of the operator, quantified by an index of sparsity. We prove their rate-optimality and adaptivity properties over Besov classes.Comment: Published in at http://dx.doi.org/10.1214/009053607000000721 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

    Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997

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    FX pricing processes are nonstationary and their frequency characteristics are time-dependent. Most do not conform to geometric Brownian motion, since they exhibit a scaling law with a Hurst exponent between zero and 0.5 and fractal dimensions between 1.5 and 2. This paper uses wavelet multiresolution analysis, with Haar wavelets, to analyze the nonstationarity (time-dependence) and self-similarity (scale-dependence) of intra-day Asian currency spot exchange rates. These are the ask and bid quotes of the currencies of eight Asian countries (Japan, Hong Kong, Indonesia, Malaysia, Philippines, Singapore, Taiwan, Thailand), and of Germany for comparison, for the crisis period May 1, 1998 - August 31, 1997, provided by Telerate (U.S. dollar is the numeraire). Their time-scale dependent spectra, which are localized in time, are observed in wavelet based scalograms. The FX increments can be characterized by the irregularity of their singularities. This degrees of irregularity are measured by homogeneous Hurst exponents. These critical exponents are used to identify the fractal dimension, relative stability and long term dependence of each Asian FX series. The invariance of each identified Hurst exponent is tested by comparing it at varying time and scale (frequency) resolutions. It appears that almost all FX markets show anti-persistent pricing behavior. The anchor currencies of the D-mark and Japanese Yen are ultra-efficient in the sense of being most anti-persistent. The Taiwanese dollar is the most persistent, and thus unpredictable, most likely due to administrative control. FX markets exhibit these non- linear, non-Gaussian dynamic structures, long term dependence, high kurtosis, and high degrees of non-informational (noise) trading, possibly because of frequent capital flows induced by non-synchronized regional business cycles, rapidly changing political risks, unexpected informational shocks to investment opportunities, and, in particular, investment strategies synthesizing interregional claims using cash swaps with different duration horizons.foreign exchange markets, anti-persistence, long-term dependence, multi-resolution analysis, wavelets, time-scale analysis, scaling laws, irregularity analysis, randomness, Asia
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