EEMD
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AdvancesinAdaptiveDataAnalysisVol.1,No.1(2009)1–41cWorldScientificPublishingCompany
ENSEMBLEEMPIRICALMODEDECOMPOSITION:
ANOISE-ASSISTEDDATAANALYSISMETHOD
ZHAOHUAWU∗andNORDENE.HUANG†
∗CenterforOcean–Land–AtmosphereStudies4041PowderMillRoad,Suite302Calverton,MD20705,USA†ResearchCenterforAdaptiveDataAnalysisNationalCentralUniversity300JhongdaRoad,Chungli,Taiwan32001
AnewEnsembleEmpiricalModeDecomposition(EEMD)ispresented.Thisnewapproachconsistsofsiftinganensembleofwhitenoise-addedsignal(data)andtreatsthemeanasthefinaltrueresult.Finite,notinfinitesimal,amplitudewhitenoiseisnecessarytoforcetheensembletoexhaustallpossiblesolutionsinthesiftingprocess,thusmakingthedifferentscalesignalstocollateintheproperintrinsicmodefunctions(IMF)dictatedbythedyadicfilterbanks.AsEEMDisatime–spaceanalysismethod,theaddedwhitenoiseisaveragedoutwithsufficientnumberoftrials;theonlypersistentpartthatsurvivestheaveragingprocessisthecomponentofthesignal(originaldata),whichisthentreatedasthetrueandmorephysicalmeaningfulanswer.Theeffectoftheaddedwhitenoiseistoprovideauniformreferenceframeinthetime–frequencyspace;therefore,theaddednoisecollatestheportionofthesignalofcomparablescaleinoneIMF.Withthisensemblemean,onecanseparatescalesnaturallywithoutanyapriorisubjectivecriterionselectionasintheintermittencetestfortheoriginalEMDalgorithm.Thisnewapproachutilizesthefulladvantageofthestatisticalcharacteristicsofwhitenoisetoperturbthesignalinitstruesolutionneighborhood,andtocancelitselfoutafterservingitspurpose;therefore,itrepresentsasubstantialimprovementovertheoriginalEMDandisatrulynoise-assisteddataanalysis(NADA)method.
Keywords:EmpiricalModeDecomposition(EMD);ensembleempiricalmodedecompo-sitions;noise-assisteddataanalysis(NADA);IntrinsicModeFunction(IMF);shiftingstoppagecriteria;endeffectreduction.
1.Introduction
TheEmpiricalModeDecomposition(EMD)hasbeenproposedrecently1,2asan
adaptivetime–frequencydataanalysismethod.Ithasbeenprovedquiteversatile
inabroadrangeofapplicationsforextractingsignalsfromdatageneratedinnoisy
nonlinearandnonstationaryprocesses(see,e.g.,Refs.3and4).AsusefulasEMD
provedtobe,itstillleavessomeannoyingdifficultiesunresolved.
OneofthemajordrawbacksoftheoriginalEMDisthefrequentappearance
ofmodemixing,whichisdefinedasasingleIntrinsicModeFunction(IMF)either
12Z.Wu&N.E.Huang
consistingofsignalsofwidelydisparatescales,orasignalofasimilarscaleresid-
ingindifferentIMFcomponents.Modemixingisoftenaconsequenceofsignal
intermittency.AsdiscussedbyHuangetal.,1,2theintermittencecouldnotonly
causeseriousaliasinginthetime–frequencydistribution,butalsomakethephys-
icalmeaningofindividualIMFunclear.Toalleviatethisdrawback,Huangetal.2
proposedtheintermittencetest,whichcanindeedamelioratesomeofthedifficul-
ties.However,theapproachhasitsownproblems:first,theintermittencetestis
basedonasubjectivelyselectedscale.Withthissubjectiveintervention,theEMD
ceasestobetotallyadaptive.Second,thesubjectiveselectionofscalesworksif
thereareclearlyseparableanddefinabletimescalesinthedata.Incasethescales
arenotclearlyseparablebutmixedoverarangecontinuously,asinthecaseof
themajorityofnaturalorman-madesignals,theintermittencetestalgorithmwith
subjectivelydefinedtimescalesoftendoesnotworkverywell.
Toovercomethescaleseparationproblemwithoutintroducingasubjective
intermittencetest,anewnoise-assisteddataanalysis(NADA)methodisproposed,
theEnsembleEMD(EEMD),whichdefinesthetrueIMFcomponentsasthemean
ofanensembleoftrials,eachconsistingofthesignalplusawhitenoiseoffinite
amplitude.Itshouldbenotedherethatweuseword‘single’insteadofword‘data’
inthispaper(exceptinsomepartofSec.2)becausethepurposeofthispaperisto
decomposethewholetargeteddatabutnottoidentifytheparticularpartthatis
knownaprioriascontaininginterestinginformation.Sincethereisaddednoisein
thedecompositionmethod,werefertheoriginaldataas‘signal’inmostoccasions.
Withthisensembleapproach,wecanclearlyseparatethescalenaturallywithout
anyapriorisubjectivecriterionselection.Thisnewapproachisbasedontheinsight
gleanedfromrecentstudiesofthestatisticalpropertiesofwhitenoise,5,6which
showedthattheEMDiseffectivelyanadaptivedyadicfilterbankawhenappliedto
whitenoise.Morecritically,thenewapproachisinspiredbythenoise-addedanal-
ysesinitiatedbyFlandrinetal.7andGledhill.8Theirresultsdemonstratedthat
noisecouldhelpdataanalysisintheEMD.
TheprincipleoftheEEMDissimple:theaddedwhitenoisewouldpopulate
thewholetime–frequencyspaceuniformlywiththeconstitutingcomponentsof
differentscales.Whensignalisaddedtothisuniformlydistributedwhiteback-
ground,thebitsofsignalofdifferentscalesareautomaticallyprojectedontoproper
scalesofreferenceestablishedbythewhitenoiseinthebackground.Ofcourse,
eachindividualtrialmayproduceverynoisyresults,foreachofthenoise-added