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Using Orthogonal Matching Pursuit Algorithm in Time Series

Using Orthogonal Matching Pursuit Algorithm in Time Series

Using Python to Analyze and Predict Time Series With OMP

Sofien Kaabar, CFA's avatar
Sofien Kaabar, CFA
Feb 27, 2024
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Using Orthogonal Matching Pursuit Algorithm in Time Series
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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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