Nonparametric estimation of signals in wavelet bases, quickest detection of disorder for Levy processes.
Main publications:
Burnaev E. V. Modelling and forecasting of volatility of financial time-series on basis of process with nonstationary unconditional dispersion // Surveys of applied and industrial mathematics. 2005. V. 12. No. 3. P. 785–809. (In Russian)
Burnaev E. V. Application of Wavelet Bases in Linear and Nonlinear Approximation to Functions from Besov Spaces // Computational Mathematics and Mathematical Physics. 2006. V. 46. No. 12. Pp. 2051–2060. (In English)
Burnaev E. V. Nonparametric modelling and forecasting of volatility of nonstationary financial time-seris // Preprint. Moscow: Computing Center of the Russian Academy of Sciences, 2006. (In Russian)
Burnaev E. V. Application of wavelet transform for signal analysis // A tutorial. Moscow Intitute of Physics and Technology, 2007. P. 120. (In Russian)
