A Basis Set for Characterizing Transient Random Phenomena
Roy M. Howard, Massimo Macucci, Giovanni Basso · AIP conference proceedings · 2009
An orthogonal basis consistent with transient random phenomena is proposed and applied to market data and 1/f noise. For 1/f noise the power‐rate spectrum is flat. The basis set leads to a power‐rate spectrum and can be used to facilitate the detection of specific signal forms.