Ensemble Empirical Mode Decomposition of monthly climatic indices relevant to Australian hydroclimatology

Abstract

Application of the spectral analysis technique Ensemble Empirical Mode Decomposition (EEMD) to hydroclimatic time series produces an orthogonal set of decreasing frequency Intrinsic Mode Functions (IMFs) and a residual (or trend). As the EEMD algorithm is locally adaptive it is suitable for decomposing time series that appear non-stationary in terms of mean and variance: characteristics that are not uncommon in hydroclimatic series. EEMD utilises ensemble averaging to overcome the mode mixing problem observed in traditional Empirical Mode Decomposition (EMD). Here EEMD is briefly outlined and issues relating to the calculation of the Hilbert spectrum from EEMD output are discussed. EEMD is t..