In this paper, we review one of the most effective financial multi-factor models, called
Returns Based Style Analysis (RBSA), from the standpoint of its performance in detecting …

The problem of estimating time-varying regression is studied via a mathematical formulation
of a class of nonstationary signal analysis problems. This problem inevitably concerns the …

В данной работе рассмотрена задача обучения распознаванию образов, в которой
влияние некоторого скрытого фактора приводит к изменению свойств генеральной …

We analyze the shortcomings of existing multi-factor models based on portfolio performance
data in detecting investment portfolio dynamics such as gradual style drift or rapid changes …

The practice always makes us face the challenge of processing pattern recognition data
flows with time-varying target concept, ie, changing statistical relationship between class …

In the field of compressed sensing, Orthogonal least Square is a well known greedy
algorithm for sparse signal reconstruction. It has been proved that this algorithm gives stable …

К настоящему времени существует много работ, посвященных анализу структурных
сигналов, обработка которых в большинстве случаев сводится к двухэтапной …

An algorithm for piecewise continuous approximation of structural experimental
multidimensional signals with a previously unknown number of intervals for splitting signals …

Estimation of time-varying regression model constrained at each time moment by linear
inequalities is a natural statistical formulation of a wide class of nonstationary signal …

Принцип минимизации структурного риска вложенных классов моделей данных часто
применяется в задачах распознавания образов и восстановления регрессионной …