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Mixed ℓ2 and ℓ1-norm regularization for adaptive detrending with ARMA modeling.
- Source :
-
Journal of the Franklin Institute . Feb2018, Vol. 355 Issue 3, p1493-1511. 19p. - Publication Year :
- 2018
-
Abstract
- In this paper, the problem of detrending a time series and/or estimating a wandering baseline is addressed. We propose a new methodology that adaptively minimizes different regularized cost functions by introducing an ARMA model of the underlying trend. Mixed ℓ 1 /ℓ 2 -norm penalty functions are taken into consideration and novel RLS and LMS solutions are derived for the model parameters estimation. The proposed methods are applied to typical trend estimation/removal problems that can be found in the analysis of economic time series or biomedical signal acquisition. Comparisons with standard noncausal filtering techniques are also presented. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00160032
- Volume :
- 355
- Issue :
- 3
- Database :
- Academic Search Index
- Journal :
- Journal of the Franklin Institute
- Publication Type :
- Periodical
- Accession number :
- 127922091
- Full Text :
- https://doi.org/10.1016/j.jfranklin.2017.12.009