Empirical mode decomposition combined with local linear quantile regression for automatic boundary correction

DOI10.1155/2014/731827MaRDI QIDQ1724844zbMATH OpenOpenAlexWikidataFDO

Authors Abobaker M. Jaber, Mohd. Tahir Ismail, Alssaidi M. Altaher

Publication date 14 February 2019

Published in Abstract and Applied Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2014/731827

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Review text

Summary: Empirical mode decomposition (EMD) is particularly useful in analyzing nonstationary and nonlinear time series. However, only partial data within boundaries are available because of the bounded support of the underlying time series. Consequently, the application of EMD to finite time series data results in large biases at the edges by increasing the bias and creating artificial wiggles. This study introduces a new two-stage method to automatically decrease the boundary effects present in EMD. At the first stage, local polynomial quantile regression (LLQ) is applied to provide an efficient description of the corrupted and noisy data. The remaining series is assumed to be hidden in the residuals. Hence, EMD is applied to the residuals at the second stage. The final estimate is the summation of the fitting estimates from LLQ and EMD. Simulation was conducted to assess the practical performance of the proposed method. Results show that the proposed method is superior to classical EMD.

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Cited in

(4)

• Empirical mode decomposition using rational splines: an application to rainfall time series
• Assessing the performance of rational spline-based empirical mode decomposition using a global annual precipitation dataset
• Improving accuracy models using elastic net regression approach based on empirical mode decomposition
• Comparison between empirical mode decomposition and local linear regression in presence of boundaries

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