EEMD

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AdvancesinAdaptiveDataAnalysisVol.1,No.1(2009)1–41c󰀁WorldScientificPublishingCompany

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