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![Page 1: A Plea for Adaptive Data Analysis: Instantaneous Frequencies and Trends For Nonstationary Nonlinear Data Norden E. Huang Research Center for Adaptive Data.](https://reader035.fdocuments.us/reader035/viewer/2022081519/56649d455503460f94a22360/html5/thumbnails/1.jpg)
A Plea for Adaptive Data Analysis:Instantaneous Frequencies and Trends
For Nonstationary Nonlinear Data
Norden E. HuangResearch Center for Adaptive Data Analysis
National Central UniversityZhongli, Taiwan, China
Hot Topic Conference, 2011
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In search of frequency I found the trend and other information
Instantaneous Frequencies and Trends
For Nonstationary Nonlinear Data
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Prevailing Views onInstantaneous Frequency
The term, Instantaneous Frequency, should be banished forever from the dictionary of the communication engineer.
J. Shekel, 1953
The uncertainty principle makes the concept of an Instantaneous Frequency impossible.
K. Gröchennig, 2001
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How to define frequency?
It seems to be trivial.
But frequency is an important parameter for us to understand many physical phenomena.
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Definition of Frequency
Given the period of a wave as T ; the frequency is defined as
1
T.
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Traditional Definition of Frequency
• frequency = 1/period.
• Definition too crude• Only work for simple sinusoidal waves• Does not apply to nonstationary processes• Does not work for nonlinear processes • Does not satisfy the need for wave equations
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The Idea and the need of Instantaneous Frequency
k , ;
t
t
k0 .
According to the classic wave theory, the wave conservation law is based on a gradually changing φ(x,t) such that
Therefore, both wave number and frequency must have instantaneous values and differentiable.
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Instantaneous Frequency
distanceVelocity ; mean velocity
time
dxNewton v
dt
1Frequency ; mean frequency
period
dHH
So that both v and
T defines the p
can appear in differential equations.
hase functiondt
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p
2 2 1 / 2 1
i ( t )
For any x( t ) L ,
1 x( )y( t ) d ,
t
then, x( t )and y( t ) form the analytic pairs:
z( t ) x( t ) i y( t ) ,
where
y( t )a( t ) x y and ( t ) tan .
x( t )
a( t ) e
Hilbert Transform : Definition
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The Traditional View of the Hilbert Transform for Data Analysis
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Traditional Viewa la Hahn (1995) : Data LOD
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Traditional Viewa la Hahn (1995) : Hilbert
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Traditional Approacha la Hahn (1995) : Phase Angle
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Traditional Approacha la Hahn (1995) : Phase Angle Details
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Traditional Approacha la Hahn (1995) : Frequency
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Why the traditional approach does not work?
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Hilbert Transform a cos + b : Data
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Hilbert Transform a cos + b : Phase Diagram
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Hilbert Transform a cos + b : Phase Angle Details
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Hilbert Transform a cos + b : Frequency
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The Empirical Mode Decomposition Method and Hilbert Spectral Analysis
Sifting
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Empirical Mode Decomposition: Methodology : Test Data
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Empirical Mode Decomposition: Methodology : data and m1
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Empirical Mode Decomposition: Methodology : data & h1
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Empirical Mode Decomposition: Methodology : h1 & m2
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Empirical Mode Decomposition: Methodology : h3 & m4
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Empirical Mode Decomposition: Methodology : h4 & m5
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Empirical Mode DecompositionSifting : to get one IMF component
1 1
1 2 2
k 1 k k
k 1
x( t ) m h ,
h m h ,
.....
.....
h m h
.h c
.
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The Stoppage Criteria
The Cauchy type criterion: when SD is small than a pre-set value, where
T2
k 1 kt 0
T2
k 1t 0
h ( t ) h ( t )SD
h ( t )
Or, simply pre-determine the number of iterations.
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Effects of Sifting
• To remove ridding waves
• To reduce amplitude variations
• The systematic study of the stoppage criteria leads to the conjecture connecting EMD and Fourier Expansion.
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Empirical Mode Decomposition: Methodology : IMF c1
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Definition of the Intrinsic Mode Function (IMF): a necessary condition only!
Any function having the same numbers of
zero cros sin gs and extrema,and also having
symmetric envelopes defined by local max ima
and min ima respectively is defined as an
Intrinsic Mode Function( IMF ).
All IMF enjoys good Hilbert Transfo
i ( t )
rm :
c( t ) a( t )e
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Empirical Mode Decomposition: Methodology : data, r1 and m1
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Empirical Mode DecompositionSifting : to get all the IMF components
1 1
1 2 2
n 1 n n
n
j nj 1
x( t ) c r ,
r c r ,
x( t ) c r
. . .
r c r .
.
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Definition of Instantaneous Frequency
i ( t )
t
The Fourier Transform of the Instrinsic Mode
Funnction, c( t ), gives
W ( ) a( t ) e dt
By Stationary phase approximation we have
d ( t ),
dt
This is defined as the Ins tan taneous Frequency .
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An Example of Sifting &
Time-Frequency Analysis
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Length Of Day Data
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LOD : IMF
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Orthogonality Check
• Pair-wise % • 0.0003• 0.0001• 0.0215• 0.0117• 0.0022• 0.0031• 0.0026• 0.0083• 0.0042• 0.0369• 0.0400
• Overall %
• 0.0452
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LOD : Data & c12
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LOD : Data & Sum c11-12
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LOD : Data & sum c10-12
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LOD : Data & c9 - 12
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LOD : Data & c8 - 12
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LOD : Detailed Data and Sum c8-c12
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LOD : Data & c7 - 12
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LOD : Detail Data and Sum IMF c7-c12
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LOD : Difference Data – sum all IMFs
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Properties of EMD Basis
The Adaptive Basis based on and derived from the data by the empirical method satisfy nearly all the traditional requirements for basis empirically and a posteriori:
Complete
Convergent
Orthogonal
Unique
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The combination of Hilbert Spectral Analysis and Empirical Mode Decomposition has been
designated by NASA as
HHT
(HHT vs. FFT)
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Comparison between FFT and HHT
j
j
t
i t
jj
i ( )d
jj
1. FFT :
x( t ) a e .
2. HHT :
x( t ) a ( t ) e .
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Comparisons: Fourier, Hilbert & Wavelet
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Speech Analysis Hello : Data
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Four comparsions D
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Traditional Viewa la Hahn (1995) : Hilbert
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Mean Annual Cycle & Envelope: 9 CEI Cases
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Mean Hilbert Spectrum : All CEs
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For quantifying nonlinearity we need instantaneous frequency.
For
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How to define Nonlinearity?
How to quantify it through data alone?
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The term, ‘Nonlinearity,’ has been loosely used, most of the time, simply
as a fig leaf to cover our ignorance.
Can we be more precise?
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How is nonlinearity defined?
Based on Linear Algebra: nonlinearity is defined based on input vs. output.
But in reality, such an approach is not practical: natural system are not clearly defined; inputs and out puts are hard to ascertain and quantify. Furthermore, without the governing equations, the order of nonlinearity is not known.
In the autonomous systems the results could depend on initial conditions rather than the magnitude of the ‘inputs.’
The small parameter criteria could be misleading: sometimes, the smaller the parameter, the more nonlinear.
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Linear Systems
Linear systems satisfy the properties of superposition and scaling. Given two valid inputs to a system H,
as well as their respective outputs
then a linear system, H, must satisfy
for any scalar values α and β.
x ( t ) and x ( t )1 2
y ( t ) H{ x ( t )} and
y (t) = H{ x ( t )}
1 1
2 2
y ( t ) y ( t ) H{ x ( t ) x ( t )} 1 1 1 2
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How is nonlinearity defined?
Based on Linear Algebra: nonlinearity is defined based on input vs. output.
But in reality, such an approach is not practical: natural system are not clearly defined; inputs and out puts are hard to ascertain and quantify. Furthermore, without the governing equations, the order of nonlinearity is not known.
In the autonomous systems the results could depend on initial conditions rather than the magnitude of the ‘inputs.’
The small parameter criteria could be misleading: sometimes, the smaller the parameter, the more nonlinear.
![Page 64: A Plea for Adaptive Data Analysis: Instantaneous Frequencies and Trends For Nonstationary Nonlinear Data Norden E. Huang Research Center for Adaptive Data.](https://reader035.fdocuments.us/reader035/viewer/2022081519/56649d455503460f94a22360/html5/thumbnails/64.jpg)
How should nonlinearity be defined?
The alternative is to define nonlinearity based on data characteristics: Intra-wave frequency modulation.
Intra-wave frequency modulation is known as the harmonic distortion of the wave forms. But it could be better measured through the deviation of the instantaneous frequency from the mean frequency (based on the zero crossing period).
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Characteristics of Data from Nonlinear Processes
32
2
2
22
d xx cos t
dt
d xx cos t
dt
Spring with positiondependent cons tan t ,
int ra wave frequency mod ulation;
therefore ,we need ins tan
x
1
taneous frequenc
x
y.
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Duffing Pendulum
2
22( co .) s1
d xx tx
dt
x
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Duffing Equation : Data
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Hilbert’s View on Nonlinear DataIntra-wave Frequency Modulation
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A simple mathematical model
x( t ) cos t sin 2 t
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Duffing Type Wave
Data: x = cos(wt+0.3 sin2wt)
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Duffing Type WavePerturbation Expansion
For 1 , we can have
cos t cos sin 2 t sin t sin sin 2 t
cos t sin t sin 2 t ....
This is very similar to the solutionof D
x( t ) cos t sin 2 t
1 cos t cos 3
uffing equ
t ....2
atio
2
n .
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Duffing Type WaveWavelet Spectrum
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Duffing Type WaveHilbert Spectrum
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Degree of nonlinearity
1 / 22
z
z
Let us consider a generalized intra-wave frequency modulation model
as:
d x( t ) cos( t sin t )
IF IFDN (Degree of Nolinearity ) should be
I
cos t IF=
.2
Depending on
d
F
t
1t
he value of , we can have either a up-down symmetric
or a asymmetric wave form.
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Degree of Nonlinearity
• DN is determined by the combination of δη precisely with Hilbert Spectral Analysis. Either of them equals zero means linearity.
• We can determine δ and η separately:– η can be determined from the instantaneous frequen
cy modulations relative to the mean frequency.– δ can be determined from DN with known η.
NB: from any IMF, the value of δη cannot be greater than 1.
• The combination of δ and η gives us not only the Degree of Nonlinearity, but also some indications of the basic properties of the controlling Differential Equation, the Order of Nonlinearity.
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Stokes Models
22
2
2 with ; =0.1.
25
: is positive ranging from 0.1 to 0.375;
beyond 0.375, there is no solution.
: is negative ranging from 0.1 to 0.391
d xx
;
Stokes I
Stokes II
x cos t dt
beyond 0.391, there is no solution.
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Data and IFs : C1
0 20 40 60 80 100 120 140 160 180 200-3
-2.5
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
Time: Second
Fre
qu
ency
: H
z
Stokes Model c1: e=0.375; DN=0.2959
IFqIFzDataIFq-IFz
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Summary Stokes I
0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.450
0.05
0.1
0.15
0.2
0.25
0.3
0.35
Epsilon
Co
mb
ined
Deg
ree
of
Sta
tio
nar
ity
Summary Stokes I
C1C2CDN
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Lorenz Model
• Lorenz is highly nonlinear; it is the model equation that initiated chaotic studies.
• Again it has three parameters. We decided to fix two and varying only one.
• There is no small perturbation parameter.
• We will present the results for ρ=28, the classic chaotic case.
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Phase Diagram for ro=28
010
2030
4050
-20
-10
0
10
20-30
-20
-10
0
10
20
30
x
Lorenz Phase : ro=28, sig=10, b=8/3
y
z
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X-Component
DN1=0.5147
CDN=0.5027
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Data and IF
0 5 10 15 20 25 30 35 40 45 50-10
0
10
20
30
40
50
Time : second
Fre
qu
ency
: H
z
Lorenz X : ro=28, sig=10, b=8/3
IFqIFzDataIFq-IFz
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Spectra data and IF
10-1
100
101
102
10-4
10-3
10-2
10-1
100
101
102
Frequency : Hz
Sp
ectr
al D
ensi
ty
Spectra of Data and IF : Lorenz 28
DataFrequency
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Comparisons
Fourier Wavelet Hilbert
Basis a priori a priori Adaptive
Frequency Integral transform: Global
Integral transform: Regional
Differentiation:
Local
Presentation Energy-frequency Energy-time-frequency
Energy-time-frequency
Nonlinear no no yes, quantifying
Non-stationary no yes Yes, quantifying
Uncertainty yes yes no
Harmonics yes yes no
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How to define Trend ?
Parametric or Non-parametric?
Intrinsic vs. extrinsic approach?
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The State-of-the arts: Trend
“One economist’s trend is another economist’s cycle”
Watson : Engle, R. F. and Granger, C. W. J. 1991 Long-run Economic Relation
ships. Cambridge University Press.
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Philosophical Problem Anticipated
名不正則言不順
言不順則事不成
——孔夫子
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On Definition
Without a proper definition, logic discourse would be impossible.
Without logic discourse, nothing can be accomplished.
Confucius
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Definition of the Trend
Within the given data span, the trend is an intrinsically fitted monotonic function, or a function in which there can be at most one extremum.
The trend should be an intrinsic and local property of the data; it is determined by the same mechanisms that generate the data.
Being local, it has to associate with a local length scale, and be valid only within that length span, and be part of a full wave length.
The method determining the trend should be intrinsic. Being intrinsic, the method for defining the trend has to be adaptive.
All traditional trend determination methods are extrinsic.
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Algorithm for Trend
• Trend should be defined neither parametrically nor non-parametrically.
• It should be the residual obtained by removing cycles of all time scales from the data intrinsically.
• Through EMD.
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Global Temperature Anomaly
Annual Data from 1856 to 2003
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Global Temperature Anomaly 1856 to 2003
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IMF Mean of 10 Sifts : CC(1000, I)
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Mean IMF
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STD IMF
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Statistical Significance Test
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Data and Trend C6
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Rate of Change Overall Trends : EMD and Linear
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Conclusion• With EMD, we can define the true instantaneous
frequency and extract trend from any data.
• We can also talk about nonlinearity quantitatively.
• Among other applications, the degree of nonlinearity could be used to set an objective criterion in structural health monitoring and to quantify the degree of nonlinearity in natural phenomena; the trend could be used in financial as well as natural sciences.
• These are all possible because of adaptive data analysis method.
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The job of a scientist is to listen carefully to nature, not to tell nature how to behave.
Richard Feynman
To listen is to use adaptive method and let the data sing, and not to force the data to fit preconceived modes.
The Job of a Scientist
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All these results depends on adaptive approach.
Thanks
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What This Means• EMD separates scales in physical space; it generates
an extremely sparse representation for any given data.
• Added noises help to make the decomposition more robust with uniform scale separations.
• Instantaneous Frequency offers a total different view for nonlinear data: instantaneous frequency needs no harmonics and is unlimited by uncertainty principle.
• Adaptive basis is indispensable for nonstationary and nonlinear data analysis
• EMD establishes a new paradigm of data analysis
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Outstanding Mathematical Problems
1. Mathematic rigor on everything we do. (tighten the definitions of IMF,….)
2. Adaptive data analysis (no a priori basis methodology in general)
3. Prediction problem for nonstationary processes (end effects)
4. Optimization problem (the best stoppage criterion and the uniqueness of the decomposition)
5. Convergence problem (best spline implement, and 2-D)
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Conclusion
Adaptive method is the only scientifically meaningful way to analyze nonlinear and nonstationary data.
It is the only way to find out the underlying physical processes; therefore, it is indispensable in scientific research.
EMD is adaptive; It is physical, direct, and simple.
But, we have a lot of problemsAnd need a lot of helps!
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Up Hill
Does the road wind up-hill all the way?
Yes, to the very end.
Will the day’s journey take the whole long day?
From morn to night, my friend.
--- Christina Georgina Rossetti
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A less poetic paraphrase
• There is no doubt that our road will be long and that our climb will be steep.
……
• But, anything is possible.
--- Barack Obama
18 Jan 2009, Lincoln Memorial
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History of HHT
1998: The Empirical Mode Decomposition Method and the Hilbert Spectrum for Non-stationary Time Series Analysis, Proc. Roy. Soc. London, A454, 903-995. The invention of the basic method of EMD, and Hilbert transform for determining the Instantaneous Frequency and energy.
1999: A New View of Nonlinear Water Waves – The Hilbert Spectrum, Ann. Rev. Fluid Mech. 31, 417-457.
Introduction of the intermittence in decomposition. 2003: A confidence Limit for the Empirical mode decompositio
n and the Hilbert spectral analysis, Proc. of Roy. Soc. London, A459, 2317-2345.Establishment of a confidence limit without the ergodic assumption.
2004: A Study of the Characteristics of White Noise Using the Empirical Mode Decomposition Method, Proc. Roy. Soc. London, A460, 1179-1611.Defined statistical significance and predictability.
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Recent Developments in HHT
2007: On the trend, detrending, and variability of nonlinear and nonstationary time series. Proc. Natl. Acad. Sci., 104, 14,889-14,894.The correct adaptive trend determination method
2009: On Ensemble Empirical Mode Decomposition. Advances in Adaptive Data Analysis. Advances in Adaptive data Analysis, 1, 1-41
2009: On instantaneous Frequency. Advances in Adaptive Data Analysis , 2, 177-229.
2010: Multi-Dimensional Ensemble Empirical Mode Decomposition. Advances in Adaptive Data Analysis 3, 339-372.
2011: Degree of Nonlinearity. Patent and Paper
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