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All About Trading!
Mastering Orthogonal Matching Pursuit Algorithm

Mastering Orthogonal Matching Pursuit Algorithm

Using Python to Analyze Time Series With OMP

Sofien Kaabar, CFA's avatar
Sofien Kaabar, CFA
Sep 10, 2024
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All About Trading!
All About Trading!
Mastering Orthogonal Matching Pursuit Algorithm
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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 that the selected components are orthogonal (meaning…

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