L. Egger

StaFIR: Convex Learning of Stationarity-Aware Causal Filters

Reducing nonstationarity in a persistent time series entails deciding how much of its temporal dependence to remove. In finance, fractional differencing is often tuned using the Augmented Dickey--Fuller (ADF) test, limiting the search to a one-parameter family of lag profiles and addressing input preservation only indi...