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检索条件"主题词=filtering algorithms"

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algorithms for filtering of market price data

Algorithms for filtering of market price data

引用

Proceedings of the IEEE/IAFE Computational Intelligence for Financial Engineering (CIFEr)

作者： H.G. Green B. Schmidt K. Reher Victory House Market Data Systems Limited London UK

The availability of market price data (MPD) is extensive and can be obtained through continuous electronic based real-time data feeds or through on-line links to historical data suppliers. Whatever the form of access and independent of the supplier, all MPD is subject to the possibility of embedded errors: whether due to transcription and input error, electronic transmission errors or simple transpositions such as evidenced when ask prices are less than the corresponding bid prices for a specific time point. The concern which arises with errors embedded in data are to do with the propagation which results when the unfiltered (or undetected) bad data point(s) is used in pricing, risk measures or any other quantitative data analysis. The authors are not strictly concerned with obvious data errors as outliers in time series. Indeed, most outlier detection, as is shown, is not challenging. Their interest is with demonstrating a set of data filtering and data cleaning analytic functions and their rational assembly in terms of generic computer algorithms which are not dependent on the market data type. They consider the attributes of: data frequency, data relationships and plausibility (e.g., bid is always less than ask), date and time sequences, negative rates, decimal point adjustment, bid price filtering, bid-ask spreads, ask price filtering and, of course, jumps and spike detection.

关键词： filtering algorithms Consumer electronics Data analysis Availability Feeds Pricing Computer errors Cleaning Algorithm design and analysis Assembly

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RLS-Laguerre lattice adaptive filtering: error feedback and array-based algorithms

RLS-Laguerre lattice adaptive filtering: error feedback and ...

引用

IEEE International Symposium on Circuits and Systems (ISCAS)

作者： R. Merched A.H. Sayed Department of Electrical Engineering University of California Los Angeles CA USA

ISBN: (纸本)0780366859

This paper develops lattice structures for RLS Laguerre adaptive filtering including error-feedback and array-based lattice versions. All structures are efficient in that their computational cost is proportional to the number of taps. Although these structures are theoretically equivalent, their performance can differ under practical considerations, such as finite-precision effects and regularization. Simulations are included to illustrate this point.

关键词： Lattices Adaptive filters Feedback Adaptive arrays filtering algorithms Resonance light scattering Computational efficiency Computational modeling Data structures Chromium

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Optimal filtering of Source Address Prefixes: Models and algorithms

Optimal Filtering of Source Address Prefixes: Models and Alg...

引用

IEEE Annual Joint Conference: INFOCOM, IEEE Computer and Communications Societies

作者： F. Soldo A. Markopoulou K. Argyraki University of California San Diego Irvine USA Ecole polytechnique fédérale de Lausanne Switzerland

ISBN: (纸本)9781424435128

How can we protect the network infrastructure from malicious traffic, such as scanning, malicious code propagation, and distributed denial-of-service (DDoS) attacks? One mechanism for blocking malicious traffic is filtering: access control lists (ACLs) can selectively block traffic based on fields of the IP header. Filters (ACLs) are already available in the routers today but are a scarce resource because they are stored in expensive ternary content addressable memory (TCAM). In this paper, we develop, for the first time, a framework for studying filter selection as a resource allocation problem. Within this framework, we study four practical cases of source address/prefix filtering, which correspond to different attack scenarios and operator's policies. We show that filter selection optimization leads to novel variations of the multidimensional knapsack problem and we design optimal, yet computationally efficient, algorithms to solve them. We also evaluate our approach using data from *** and demonstrate that it brings significant benefits in practice. Our set of algorithms is a building block that can be immediately used by operators and manufacturers to block malicious traffic in a cost-efficient way.

关键词： filtering algorithms Communication system traffic control Traffic control Filters Protection Computer crime Access control Associative memory Resource management Design optimization

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On realizations and related algorithms for adaptive linear phase filtering

On realizations and related algorithms for adaptive linear p...

引用

International Conference on Acoustics, Speech, and Signal Processing (ICASSP)

作者： D. Youn S. Prakash Department of Electrical and Computer Engineering University of Iowa Iowa IA USA

Adaptive linear phase filters with the escalator [3] and triangular lattice [4,5] structures are proposed. Simulation results are also included to compare the performances of the proposed approaches with that of the tapped delay line filters for the problems of baseband channel equalization, when the relevant coefficients are updated using the LMS gradient method.

关键词： filtering algorithms Adaptive filters Nonlinear filters Lattices Least squares approximation Vectors Autocorrelation Convergence Delay lines Eigenvalues and eigenfunctions

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Application of the modified algorithms of fan filtering

Application of the modified algorithms of fan filtering

引用

International Scientific and Practical Conference of Students, Post-graduates and Young Scientists Modern Technique and Technologies

作者： E.A. Yapparova D.Yu. Stepanov Tomsk Polytechnic University Tomsk Russia

The main problem in seismic prospecting is the so-called inverse problem-determination of the environment physical parameters based on the results of the registered waves observation. Because the waves registered by the method of vertical seismic profiling (VSP) have different natures of initiation, the VSP data are differed by the intensive interference of incident, reflected and other waves. This problem is addressed with known program complexes for VSP data processing by means of standard procedures of fan filtering and fields subtraction. Fan filtering is considered to allow the division of the waves efficiently into incident (with positive apparent speed) and emerging ones (with negative apparent speed). Practical usage of fan filtering by means of recurrent algorithms, Z-conversion or the algorithms based on the compression operation, however, results often in essential suppression of low and medium frequencies. Hence, serious deformations are introduced into the dynamic characteristics of the analyzed waves. Results of investigations show that these problems can be solved partially or completely, using digital spectrum algorithms based on the continuity properties of bispectrum fields and the choice of the nonrectangular discretization network by the frequency and wave number. algorithms developed based on these principles are called modified fan algorithms (MFA).

关键词： filtering algorithms Data processing Signal analysis Seismology Boring Interference Adaptive filters Kinematics Frequency Digital filters

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Fast algorithms for 2-D least squares FIR filtering

Fast algorithms for 2-D least squares FIR filtering

引用

International Conference on Acoustics, Speech, and Signal Processing (ICASSP)

作者： G.O. Glentis N. Kaloupstidis Department of Informatics Division of Communications and Signal Processing University of Athens (NKUA) Athens Greece

A general set up for the development of fast algorithms for batch and adaptive least squares (LS) 2-D finite impulse response (FIR) filtering is presented. The proposed algorithms accommodate filter mask with arbitrar... 详细信息

关键词： Finite impulse response filter filtering algorithms Least squares methods Signal processing algorithms Adaptive filters Informatics Adaptive signal processing Multidimensional signal processing Adaptive algorithm Two dimensional displays

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Nonlinear adaptive recursive filtering using gradient-based algorithms

Nonlinear adaptive recursive filtering using gradient-based ...

引用

International Conference on Signal Processing Proceedings (ICSP)

作者： Wang Huakui Zhang Liyi Li Ruilian Department of Electron and Information Engineering Taiyuan University of Technology Shanxi China

This paper presents a nonlinear adaptive recursive digital filter in which an adaptively adjustable nonlinear function is placed at the output of a linear recursive filter. Adaptive algorithms are based on a gradient search technique for updating coefficients of the filter and parameters of the nonlinear function. The filter is stable in the sense that the filter output is always bounded with bounded input signals, and it does not need stability monitoring in the adaptive process. Computer simulations confirm the validity of the derived results.

关键词： Adaptive filters filtering algorithms Finite impulse response filter Digital filters IIR filters Stability Nonlinear filters Computerized monitoring Adaptive algorithm Transversal filters

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Robust algorithms for filtering and parameter optimization in inverse problems

Robust algorithms for filtering and parameter optimization i...

引用

International Symposium on Applied Sciences on Biomedical and Communication Technologies, ISABEL

作者： Robert K. A Owusu Department of Mathematical Modelling and Applied IT Systems Engineering Novitek Research and Innovations Group Kokkedal Denmark

The focus of this paper is ill-posed inverse problems. We emphasized on the Tikhonov's functional form of regularization from both numerical and Statistical methods viewpoints. We further extended the concept of regularization to the Bayesian methods framework. The Bayesian paradigm provided a general unified framework to the ill-posed inverse problem. Due to the computational complexity in estimating the parameters of the Bayesian model, the variational methods approach was used as an alternative. The problem of parameter estimation in the Bayesian framework was reduced to an optimization problem through the variational methods approach. In effect, we showed that the optimum of the Bayesian unified approach for the ill-posed inverse problem corresponds to the optimum of the variational methods approach.

关键词： Robustness filtering algorithms Inverse problems Bayesian methods Mathematical model Parameter estimation Optimization methods Gravity Integral equations Technological innovation

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Wideband algorithms versus narrowband algorithms for adaptive filtering in the DFT domain

Wideband algorithms versus narrowband algorithms for adaptiv...

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Asilomar Conference on Signals, Systems & Computers

作者： W. Kellermann H. Buchner University of Erlangen-Nuremberg Erlangen Germany

Adaptive filtering in the DFT domain is popular for its computational efficiency and its attractive convergence properties resulting from the applicability of the FFT and separate adaptation of individual DFT bins. Narrowband algorithms assume a complete decoupling of different frequency bins, which corresponds to assuming a circulant structure for the input data matrix. Wideband designs account for the difference between the actual Toplitz structure and the circulant structure by introducing additional constraints. In this contribution, we show that a wideband approach with rigorous implementation of appropriate constraints leads to highly efficient algorithms with excellent convergence properties. As examples we consider multichannel acoustic echo cancellation (MC-AEC) and blind source separation (BSS) of convolutive mixtures.

关键词： filtering algorithms Wideband Narrowband Adaptive filters Convergence Computational efficiency Frequency Echo cancellers Blind source separation Source separation

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Applying signature filtering technique to join algorithms

Applying signature filtering technique to join algorithms

引用

International Workshop on Database and Expert Systems Applications

作者： Ge yu Guoren Wang K. Kaneko A. Makinouchi Department of Computer Science School of Information Science and Engineering Northeastern University China Department of Intelligent Systems Graduate School of Information Science and Electrical Engineering Rical Engineering Fukuoka Japan

ISBN: (纸本)0769502814

Because joins are time-consuming operations in database systems, many researchers have done a lot of research work for improving the performance of join algorithms, including join filtering techniques. This paper presents a new filter, the signature filter, to improve further the performance of various join algorithms. We have carried out experiments in an object-oriented database system to analyze the filtering ability of signature filters and the performance of join algorithms with signature filters. The relationship between signature and bit vector filters is also discussed in this paper.

关键词： filtering algorithms

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