Acta mathematica scientia,Series A ›› 2016, Vol. 36 ›› Issue (4): 783-794.

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Decomposition of Noise and Trend Based on EMD and Non-Stationarity Measure

Tan Qiuheng1, Wu Liang2,3, Li Bo4   

  1. 1. Postdoctoral Workstation in Guosen Securities, Guangdong Shenzhen 518001;
    2. Wuhan Institute of Physics and Mathematics, Chinese Academy of Sciences, Wuhan 430071;
    3. University of Chinese Academy of Sciences, Beijing 100049;
    4. School of Mathematics and Statistics, Central China Normal University, Wuhan 430079
  • Received:2015-12-07 Revised:2016-05-27 Online:2016-08-26 Published:2016-08-26
  • Supported by:

    Support by the National Natural Science Foundation for the Youth(11201165) and the NSFC(11275259,91330113)

Abstract:

In this paper, we study the decomposition of trend and noise based on empirical mode decomposition algorithm and non-stationarity measure, and propose a criterion to choose intrinsic mode function for trend. Numerical simulation results show that the proposed criterion can overcome drawback of continuous mean square error criterion, achieve a good effect in different noise intensity and complex trend.

Key words: Decomposition of noise and trend, Empirical mode decomposition, Non-stationarity measure

CLC Number: 

  • O211.64
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