Approximation theory suggests that series expansions and projections represent standard tools for random process applications from both numerical and statistical standpoints. Such instruments emphasize the role of both sparsity and smoothness for compression purposes, the decorrelation power...

One common approach for exploring, approximating and estimating complex system dynamics refers to models based on elementary or atomic building block components of easier interpretation and efficient computation. We adopt a combination of wavelets, greedy approximation and subspace techniques to...

We present an application of wavelet techniques to non-stationary time series with the aim of detecting the dependence structure which is typically found to characterize intraday stock index financial returns. It is particularly important to identify what components truly belong to the...