Matassini, Lorenzo
Signal analysis and modelling of non-linear non-stationary phenomena - from Human Voice to Financial Markets
Matassini
Lorenzo
Matassini, Lorenzo
aut
2001-08-28
2001-11-09
2014-08-12
en
We address the problem of coping with non-stationarity in time series analysis. Very
often the non-stationarity is quite weak and can be ignored for many purposes. But
this is not the case here, since the systems generating the signals under analysis
contain information on the non-stationarity themselves. In other words the variability
of the dynamical regimes due to non-stationarity is the essential property and
cannot be cut out.<br>
The work consists essentially of three parts: <i>(i)</i> A theoretical approach to non-stationarity,
showing that if one is interested in implicitly discovering the equations
of motion of the system, then under quite general hypothesis the over-embedding
allows one to solve this task, of fundamental relevance for prediction, noise reduction
and data classification. <i>(ii)</i> Applications to human voice, where the non-stationarity
is involved in the concatenation of consecutive phonemes, to be considered as signals
with few degrees of freedom but non-constant parameters. In other words
non-stationarity here means that the instantaneous dynamics can differ very significantly
from phoneme to phoneme. Three problems of technological relevance are
addressed, namely the noise reduction of human speech signals with a proper optimization
scheme, a classification of vocal disorders and a software correction of voice
patologies. <i>(iii)</i> Applications to financial markets, where the non-stationarity is related
to the volatility of market prices, trends and seasonality. Primary tasks are the
analysis of correlations in the absolute value of price differences, very useful in risk
management, and the development of models where large numbers of units interact,
giving rise to empirical observed phenomena like panic selling, herding behaviour,
speculation.
urn:nbn:de:hbz:468-20010563
2014-08-12T08:33:44.804Z
2014-08-12T09:39:11.704Z
published
Diss
fb08/diss2001/matassini