Introducing \texttt{libeemd}: a program package for performing the ensemble empirical mode decomposition

DOI10.1007/S00180-015-0603-9zbMATH Open1342.65045arXiv1707.00487OpenAlexW3099618244WikidataQ62444160 ScholiaQ62444160MaRDI QIDQ736642FDOQ736642

Authors: P. J. J. Luukko, E. Räsänen, Jouni Helske 

Publication date: 4 August 2016

Published in: Computational Statistics (Search for Journal in Brave)

Abstract: The ensemble empirical mode decomposition (EEMD) and its complete variant (CEEMDAN) are adaptive, noise-assisted data analysis methods that improve on the ordinary empirical mode decomposition (EMD). All these methods decompose possibly nonlinear and/or nonstationary time series data into a finite amount of components separated by instantaneous frequencies. This decomposition provides a powerful method to look into the different processes behind a given time series data, and provides a way to separate short time-scale events from a general trend. We present a free software implementation of EMD, EEMD and CEEMDAN and give an overview of the EMD methodology and the algorithms used in the decomposition. We release our implementation, libeemd, with the aim of providing a user-friendly, fast, stable, well-documented and easily extensible EEMD library for anyone interested in using (E)EMD in the analysis of time series data. While written in C for numerical efficiency, our implementation includes interfaces to the Python and R languages, and interfaces to other languages are straightforward.

Full work available at URL: https://arxiv.org/abs/1707.00487

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zbMATH Keywords

time series analysisintrinsic mode functionHilbert-Huang transformadaptive data analysisdetrendingnoise-assisted data analysis

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Software, source code, etc. for problems pertaining to statistics (62-04)

Cites Work

• Seamless R and C++ Integration with Rcpp
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• The empirical mode decomposition and the Hilbert spectrum for nonlinear and non-stationary time series analysis
• A B-spline approach for empirical mode decompositions
• Speech pitch determination based on Hilbert-Huang transform
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Cited In (2)

• EMPIRICAL MODE DECOMPOSITIONS AS DATA-DRIVEN WAVELET-LIKE EXPANSIONS
• libeemd

Uses Software

• R
• GSL
• Rcpp
• hht
• EMD
• Python

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