Using Orthogonal Matching Pursuit Algorithm in Time Series

Using Python to Analyze and Predict Time Series With OMP

Sofien Kaabar, CFA

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Photo by Pietro Jeng on Unsplash

Orthogonal Matching Pursuit (OMP) is a technique used in signal processing and data analysis to identify the most important components of a signal or dataset. It works by iteratively selecting components that are most correlated with the remaining signal, while ensuring…

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