Journal article

Empirical mode decomposition using rational splines: an application to rainfall time series

GGS Pegram, MC Peel, TA McMahon

PROCEEDINGS OF THE ROYAL SOCIETY A-MATHEMATICAL PHYSICAL AND ENGINEERING SCIENCES | ROYAL SOC | Published : 2008

Abstract

Empirical mode decomposition (EMD), a relatively new form of time-series decomposition, has the feature of not assuming that a time series is linear or stationary, as is implicitly done in Fourier analysis. In natural time series such as records of rainfall, streamflow, temperature, etc. where most variables exhibit nonlinear and non-stationary behaviour, this feature is particularly useful, allowing more meaningful quantification of the proportion of variance in a time series due to fluctuations at different time scales, than previous spectral analysis techniques. However, in its original form, the EMD algorithm relies on cubic spline interpolation of the extrema, which often inflate the va..

View full abstract