11 citations · 30 across the 8 of their papers we have counts for
16 papers
Nonstationary Portfolios: Diversification in the Spectral Domain
Bruno Scalzo, Alvaro Arroyo, Ljubisa Stankovic +1
Classical portfolio optimization methods typically determine an optimal capital allocation through the implicit, yet critical, assumption of statistical time-invariance. Such model…
A Probabilistic Spectral Analysis of Multivariate Real-Valued Nonstationary Signals
Bruno Scalzo, Ljubisa Stankovic, Danilo P. Mandic
A class of multivariate spectral representations for real-valued nonstationary random variables is introduced, which is characterised by a general complex Gaussian distribution. In…
The Support Uncertainty Principle and the Graph Rihaczek Distribution: Revisited and Improved
Ljubisa Stankovic
The classical support uncertainty principle states that the signal and its discrete Fourier transform (DFT) cannot be localized simultaneously in an arbitrary small area in the tim…
RANSAC-Based Signal Denoising Using Compressive Sensing
Ljubisa Stankovic, Milos Brajovic, Isidora Stankovic +2
In this paper, we present an approach to the reconstruction of signals exhibiting sparsity in a transformation domain, having some heavily disturbed samples. This sparsity-driven s…
Graph Signal Processing -- Part III: Machine Learning on Graphs, from Graph Topology to Applications
Ljubisa Stankovic, Danilo Mandic, Milos Dakovic +4
Many modern data analytics applications on graphs operate on domains where graph topology is not known a priori, and hence its determination becomes part of the problem definition,…
Portfolio Cuts: A Graph-Theoretic Framework to Diversification
Bruno Scalzo Dees, Ljubisa Stankovic, Anthony G. Constantinides +1
Investment returns naturally reside on irregular domains, however, standard multivariate portfolio optimization methods are agnostic to data structure. To this end, we investigate…