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On Wed, May 12, 2010 at 01:19:45AM +0200, Fons Adriaensen wrote:

quoted text
> On Tue, May 11, 2010 at 03:36:08PM -0700, Mark Knecht wrote:

>

> > Actually though, as a test of an idea I had and just because I've got

> > the data here, I'm using stock market data, decomposing the data into

> > bands of energy if you will, and then summing the bands back together

> > to see how close I come to the original data. It works fairly well

> > most of the time, but stock data can have big directional moves at

> > times which appears as a big transient event. When those events

> > complete then the slower filter bands ring and cause large

> > displacements in the output.

>

> So you want a set of filters with the following properties:

>

> 1. each filter has a frequency response with a shape that allows

> an intuitive interpretation as a 'bandpass', i.e. a range of

> frequencies, and

>

> 2. the sum of the filter outputs equals the original input.

>

> This is a *hard* problem. Basically none of the classical filter

> types have these properties. There are filter sets that can do

> this but they are quite esoteric.

>

> 'Ringing' is not really a problem here, each of the individual

> filters may ring, as long as this is cancelled by the others

> when you add the outputs.

>

> An FFT will provide a set of filters having property (2), but

> each filter has a sin(x)/x shape, which is not really a bandpass.

> You can 'improve' the shape by windowing, but that destroys (2).

> And anyway using an FFT like this is a 'block' operation - how

> a sample is treated depends on its position within the block.

> Windowing requires overlapping blocks, and they won't add up

> to the original input.

>

> > I was thinking about tearing into the code for

> > something like Jamin to look at what's done there. Maybe there are

> > better examples for me to use though?

>

> Jamin's FFT based filter is not really a filter, it's a vocoder

> being used as a filter and it has side effects. 

Wha??? Um, yuck.
I just mastered a CD using Jamin. Was that a mistake? I mastered a CD through a vocoder? Is there a better GPL tool I should have used?
>

quoted text
> Now if the purpose of the filtering is to extract 'features' of

> the data, you really don't need property (2). And given the

> nature of stock market data, I suspect that classic audio filters

> are not the right way to extract such features. I'd have a look

> at wavelet filters for example.

>

> Ciao,

>

> --

> FA

>

> O tu, che porte, correndo si ?

> E guerra e morte !

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