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

DOI10.1007/S00180-015-0603-9MaRDI QIDQ736642zbMATH OpenOpenAlexWikidataFDO

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

Publication date 4 August 2016

Published in Computational Statistics (Search for Journal in Brave)

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

zbMATH Keywords

adaptive data analysisdetrendingHilbert-Huang transformintrinsic mode functionnoise-assisted data analysistime series analysis

Mathematics Subject Classification ID

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

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.

Recommendations

• The empirical mode decomposition and the Hilbert spectrum for nonlinear and non-stationary time series analysis
• The inner structure of empirical mode decomposition
• How Do You Make A Time Series Sing Like a Choir? Extracting Embedded Frequencies from Economic and Financial Time Series using Empirical Mode Decomposition
• EMPIRICAL MODE DECOMPOSITIONS AS DATA-DRIVEN WAVELET-LIKE EXPANSIONS
• Synchrosqueezed wavelet transforms: an empirical mode decomposition-like tool

Cites work

• A B-spline approach for empirical mode decompositions
• A confidence limit for the empirical mode decomposition and Hilbert spectral analysis
• A study of the characteristics of white noise using the empirical mode decomposition method
• scientific article; zbMATH DE number 5012649 (Why is no real title available?)
• scientific article; zbMATH DE number 925118 (Why is no real title available?)
• Seamless R and C++ integration with Rcpp
• Speech pitch determination based on Hilbert-Huang transform
• The empirical mode decomposition and the Hilbert spectrum for nonlinear and non-stationary time series analysis

Cited in

(3)

• libeemd
• EMPIRICAL MODE DECOMPOSITIONS AS DATA-DRIVEN WAVELET-LIKE EXPANSIONS
• A data-driven approach in functional linear regression: ensemble empirical mode decomposition-based LASSO

Describes a project that uses

Uses Software

• hht
• Rcpp
• R
• EMD
• GSL
• Python

This page was built for publication: Introducing \texttt{libeemd}: a program package for performing the ensemble empirical mode decomposition

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q736642)