Data-driven time-frequency analysis

DOI10.1016/J.ACHA.2012.10.001MaRDI QIDQ2252154zbMATH OpenOpenAlexFDO

Authors Zuoqiang Shi, Thomas Y. Hou

Publication date 16 July 2014

Published in Applied and Computational Harmonic Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1202.5621

zbMATH Keywords

time-frequency analysisinstantaneous frequencymatching pursuitsparse decomposition

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Abstract: In this paper, we introduce a new adaptive data analysis method to study trend and instantaneous frequency of nonlinear and non-stationary data. This method is inspired by the Empirical Mode Decomposition method (EMD) and the recently developed compressed (compressive) sensing theory. The main idea is to look for the sparsest representation of multiscale data within the largest possible dictionary consisting of intrinsic mode functions of the form $a(t)cos(heta(t))$, where $ainV(heta)$, $V(heta)$ consists of the functions smoother than $cos(heta(t))$ and $het{a}^{\prime }ge0$. This problem can be formulated as a nonlinear $L^0$ optimization problem. In order to solve this optimization problem, we propose a nonlinear matching pursuit method by generalizing the classical matching pursuit for the $L^0$ optimization problem. One important advantage of this nonlinear matching pursuit method is it can be implemented very efficiently and is very stable to noise. Further, we provide a convergence analysis of our nonlinear matching pursuit method under certain scale separation assumptions. Extensive numerical examples will be given to demonstrate the robustness of our method and comparison will be made with the EMD/EEMD method. We also apply our method to study data without scale separation, data with intra-wave frequency modulation, and data with incomplete or under-sampled data.

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Cited in

(24)

• A multiscale computation for highly oscillatory dynamical systems using empirical mode decomposition (EMD)-type methods
• Synchrosqueezed wave packet transforms and diffeomorphism based spectral analysis for 1D general mode decompositions
• Convex optimization approach to signals with fast varying instantaneous frequency
• Recursive diffeomorphism-based regression for shape functions
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• Financial time series analysis and forecasting with Hilbert-Huang transform feature generation and machine learning
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• Data-driven spatiotemporal modal decomposition for time frequency analysis
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• A two-level method for sparse time-frequency representation of multiscale data
• Sparse time-frequency representation of nonlinear and nonstationary data

Describes a project that uses

Uses Software

• PDCO
• UNLocBoX
• CoSaMP

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