Cole van Jaarsveldt

Heriot-Watt University - Department of Actuarial Mathematics and Statistics

Edinburgh, Scotland EH14 4AS

United Kingdom

  • Heriot-Watt University - Department of Actuarial Mathematics and Statistics

SCHOLARLY PAPERS

4

DOWNLOADS

328

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (4)

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1.

Tutorial on Empirical Mode Decomposition: Basis Decomposition and Frequency Adaptive Graduation in Non-Stationary Time Series

Number of pages: 54 Posted: 07 Sep 2021 Last Revised: 03 Oct 2022
Cole van Jaarsveldt, Gareth Peters, Matthew Ames, Matthew Ames and Mike J. Chantler
Heriot-Watt University - Department of Actuarial Mathematics and Statistics, University of California Santa Barbara, The Institute of Statistical MathematicsResilientML and Heriot-Watt University - Department of Computer Science
Downloads 152 (296,294)

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Time Series Analysis, Empirical Mode Decomposition, Fourier Analysis, Wavelet Analysis, Independent Component Analysis, X11, Non-Stationary, Graduation, Signal Decomposition

2.

Package AdvEMDpy: Algorithmic Variations of Empirical Mode Decomposition in Python

Number of pages: 48 Posted: 25 Oct 2021 Last Revised: 19 Oct 2022
Cole van Jaarsveldt, Matthew Ames, Matthew Ames, Gareth Peters and Mike J. Chantler
Heriot-Watt University - Department of Actuarial Mathematics and Statistics, The Institute of Statistical MathematicsResilientML, University of California Santa Barbara and Heriot-Watt University - Department of Computer Science
Downloads 126 (342,980)

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Empirical Mode Decomposition (EMD), Statistical EMD (SEMD), Enhanced EMD (EEMD), Ensemble EMD, Hilbert transform, time series analysis, filtering, graduation, Winsorization, downsampling, splines, knot optimisation, Python, R, MATLAB

3.

Package CovRegpy: Regularised Covariance Regression and Forecasting in Python

Number of pages: 39 Posted: 04 Mar 2023
Cole van Jaarsveldt, Gareth Peters, Matthew Ames, Matthew Ames and Mike J. Chantler
Heriot-Watt University - Department of Actuarial Mathematics and Statistics, University of California Santa Barbara, The Institute of Statistical MathematicsResilientML and Heriot-Watt University - Department of Computer Science
Downloads 36 (665,265)

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Portfolio Optimisation, Regularised Covariance Regression (RCR), Empirical Mode Decomposition (EMD), Singular Spectrum Analysis (SSA), Singular Spectrum Decomposition (SSD), X11, Implicit Factors, Risk Premia Parity, Risk Parity, Long\Short Equity

4.

Supplement to: Package AdvEMDpy: Algorithmic Variations of Empirical Mode Decomposition in Python

Number of pages: 13 Posted: 19 Oct 2022
Cole van Jaarsveldt, Matthew Ames, Matthew Ames, Gareth Peters and Mike J. Chantler
Heriot-Watt University - Department of Actuarial Mathematics and Statistics, The Institute of Statistical MathematicsResilientML, University of California Santa Barbara and Heriot-Watt University - Department of Computer Science
Downloads 14 (831,213)

Abstract:

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Empirical Mode Decomposition (EMD), Statistical EMD (SEMD), Enhanced EMD (EEMD), Ensemble EMD, Hilbert transform, time series analysis, filtering, graduation, Winsorization, downsampling, splines, knot optimisation, Python, R, MATLAB