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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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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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