Wavelet shrinkage of a noisy dynamical system with non-linear noise impact

Matthieu Garcin () and Dominique Guegan ()
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Matthieu Garcin: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, Natixis Asset Management - Natixis Asset Management
Dominique Guegan: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

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Abstract: By filtering wavelet coefficients, it is possible to construct a good estimate of a pure signal from noisy data. Especially, for a simple linear noise influence, Donoho and Johnstone (1994) have already defined an optimal filter design in the sense of a minimization of the error made when estimating the pure signal. We set here a different framework where the influence of the noise is non-linear. In particular, we propose a method to filter the wavelet coefficients of a discrete dynamical system disrupted by a weak noise, in order to construct good estimates of the pure signal, including Bayes' estimate, minimax estimate, oracular estimate or thresholding estimate. We present the example of a logistic and a Lorenz chaotic dynamical system as well as an adaptation of our technique in order to show empirically the robustness of the thresholding method in presence of leptokurtic noise. Moreover, we test both the hard and the soft thresholding and also another kind of smoother thresholding which seems to have almost the same reconstruction power as the hard thresholding. Finally, besides the tests on an estimated dataset, the method is tested on financial data: oil prices and NOK/USD exchange rate.

Keywords: Wavelets; Dynamical systems; Thresholding; Nonequispaced design; Non-linear noise impact (search for similar items in EconPapers)
Date: 2016-06
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Citations: View citations in EconPapers (8)

Published in Physica D: Nonlinear Phenomena, 2016, 325, pp.126-145. ⟨10.1016/j.physd.2016.03.013⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:hal-01397328

DOI: 10.1016/j.physd.2016.03.013

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