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New Instantaneous Frequency Definition for IMF and Its Application in Financial Data Analysis

Excerpt

The empirical mode decomposition (EMD) is a useful algorithm for analyzing nonlinear and non-stationary data. The algorithm, depending on certain splines and a threshold previously set, results in a finite number of basic functions called intrinsic mode functions (IMFs). The present paper proposes a method to compute the instantaneous frequency (IF) of IMFs. Based on ihe defined IF we can formulate time-frequency distributions. An illustrative example is given based on the stock market data of Hong Kong Hang Seng Index.

  • Abstract
  • Keywords
  • Introduction
  • New Mathematical Definition of If for IMF
  • If Computing Algorithm
  • Experiment and Results
  • Conclusions
  • References

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