Empirical Mode Decomposition

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Empirical Mode Decomposition

Empirical Mode Decomposition

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  • 14 Students Enrolled
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Courselet Content

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Requirements

  • excellent MVA knowledge

General Overview

Description

  1. The talk introduces Empirical Mode Decomposition (EMD) as a fully data-driven tool for analyzing non-stationary and nonlinear signals without a priori model assumptions .

  2. EMD decomposes a signal into Intrinsic Mode Functions (IMFs), each representing a distinct time-varying frequency component .

  3. The methodology relies on an iterative sifting process using local extrema and cubic spline envelopes to enforce IMF conditions .

  4. Combined with the Hilbert Transform, the approach yields instantaneous amplitude and frequency for mono-component signals .

  5. EMD is highlighted as flexible and applicable in neuroscience, speech, image processing, finance, and molecular dynamics .

  6. Applications to micro-Doppler radar show how IMFs capture vibrations from UAV propellers and bird wings .

  7. A complex-valued extension (CEMD) enables decomposition of I/Q radar data via frequency separation in the Fourier domain .

  8. Financial examples illustrate EMD decomposition of stock factors and construction of an EMD composite return predictor .

  9. Limitations such as mode mixing are addressed through Ensemble EMD and alternative methods like VMD .

  10. Future challenges include rotation-invariant complex EMD, noisy environments, and multi-object radar scenarios .

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Meet the instructors !

instructor
About the Instructor

Wolfgang Karl HÄRDLE attained his Dr. rer. nat. in Mathematics at Universität Heidelberg in 1982 and in 1988 his habilitation at Universität Bonn.  He is Ladislaus von Bortkiewicz Professor of Statistics at Humboldt-Universität zu Berlin and the director of the Sino German Graduate School (洪堡大学 + 厦门大学) IRTG1792 on “High dimensional non stationary time series analysis”.  He directs  IDA Institute for Digital Assets,  

  University of Economic Studies, Bucharest, RO. His research focuses on data analytics, dimension reduction and quantitative finance.  He has published over 30 books and more than 300 papers in top statistical, econometrics and finance journals. He is highly ranked and cited on Google Scholar, REPEC and SSRN. He has professional experience in financial engineering, S.M.A.R.T. (Specific, Measurable, Achievable, Relevant, Timely) data analytics, machine learning and cryptocurrency markets. He has created the www.quantlet.com platform, a cryptocurrency index, CRIX www.royalton-crix.com  He is 玉山学者 (Yushan Scholar), web page hu.berlin/wkh  

 

instructor
About the Instructor

Statistics master's student Humboldt-Universität zu Berlin