![]() ![]() I've tried changing the mother wavelet, the time series length, the mode in which reconstruction of the time series is done (soft vs hard) and, obviously, I've messed with the threshold value itself. Obviously, I want to preserve the original signal, but I feel like the series just simply isn't being denoised - a financial time series whose only noise occurs in the few-second resolution? Moreover, even at the smallest time scales, the graph of the reconstructed and original graph remain almost the same. No matter what I do, the reconstructed signal ends up invariably almost identical to the original. I have a very long time series, but I've been working with 100,000 observations just to test how well the wavelet denoising (haar) works. I'm trying to denoise financial time series data (second by second).
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