Empirical Mode Decomposition

and Hilbert-Huang Transform

Emine Can 2010

too short total data span

nonstationary

nonlinear process

Data Analysis
Fourier Spectral Analysis

Data Processing Methods Energy-frequency distributions =SpectrumFourier Transform of the data o Spectrogram Restrictions: * the system must be linear o Wavelet Analysis * the data must be strictly periodic or stationary Modifications of Fourier SA o Wigner-Ville Distribution (Heisenberg wavelet) o Evolutionary spectrum o Empirical Orthogonal Function Expansion (EOF) o Other methods
Empirical Mode Decomposition and Hilbert-Huang Transform

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Complicated Data Set

Empirical Mode Decomposition

Intrinsic Mode Functions

Instantaneous Frequency

(Energy-Frequency-Time)

Hilbert Transform

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Empirical Mode Decomposition and Hilbert-Huang Transform

Emperical Mode Decomposition (EMD) A method that any complicated data set can be decomposed into a finite and often small number of `intrinsic mode functions' that admit well-behaved Hilbert Transforms.
Intrinsic Mode Functions(IMF)

IMF is a function that satisfies two conditions: 1- In the whole data set, the number of extrema and the number of zero crossings must either equal or differ at most by one 2- At any point, the mean value of the envelope defined by the local maxima and the envelope defined by the local minima is zero
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The empirical mode decomposition method: the sifting process

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Empirical Mode Decomposition and Hilbert-Huang Transform

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Empirical Mode Decomposition and Hilbert-Huang Transform

The sifting process

Complicated Data Set x(t)

IMF 1; iteration 0 2 1 0 -1 -2 10 20 30 40 50 60 70 80 90 100 110 120

The sifting process

1. identify all upper extrema of x(t).

IMF 1; iteration 0 2 1 0 -1 -2 10 20 30 40 50 60 70 80 90 100 110 120

The sifting process

2. Interpolate the local maxima to form an upper envelope u(x).

IMF 1; iteration 0 2 1 0 -1 -2 10 20 30 40 50 60 70 80 90 100 110 120

The sifting process

3. identify all lower extrema of x(t).

IMF 1; iteration 0 2 1 0 -1 -2 10 20 30 40 50 60 70 80 90 100 110 120

The sifting process

4. Interpolate the local minima to form an lower envelope l(x).

IMF 1; iteration 0 2 1 0 -1 -2 10 20 30 40 50 60 70 80 90 100 110 120

The sifting process

5. Calculate the mean envelope: m(t)=[u(x)+l(x)]/2.

IMF 1; iteration 0 2 1 0 -1 -2 10 20 30 40 50 60 70 80 90 100 110 120

The sifting process

6. Extract the mean from the signal: h(t)=x(t)-m(t)
IMF 1; iteration 0 2 1 0 -1 -2 10 20 30 40 50 60 70 80 90 100 110 120

residue 1.5 1 0.5 0 -0.5 -1 -1.5 10 20 30 40 50 60 70 80 90 100 110 120

The sifting process

7. Check whether h(t) satisfies the IMF condition. YES: h(t) is an IMF, stop sifting. NO: let x(t)=h(t), keep sifting.
IMF 1; iteration 1 1.5 1 0.5 0 -0.5 -1 -1.5 10 20 30 40 50 60 70 80 90 100 110 120

residue 1.5 1 0.5 0 -0.5 -1 -1.5 10 20 30 40 50 60 70 80 90 100 110 120

The sifting process

IMF 1; iteration 1 1.5 1 0.5 0 -0.5 -1 -1.5 10 20 30 40 50 60 70 80 90 100 110 120

residue 1.5 1 0.5 0 -0.5 -1 -1.5 10 20 30 40 50 60 70 80 90 100 110 120

The sifting process

IMF 1; iteration 1 1.5 1 0.5 0 -0.5 -1 -1.5 10 20 30 40 50 60 70 80 90 100 110 120

residue 1.5 1 0.5 0 -0.5 -1 -1.5 10 20 30 40 50 60 70 80 90 100 110 120

The sifting process

IMF 1; iteration 1 1.5 1 0.5 0 -0.5 -1 -1.5 10 20 30 40 50 60 70 80 90 100 110 120

residue 1.5 1 0.5 0 -0.5 -1 -1.5 10 20 30 40 50 60 70 80 90 100 110 120

The sifting process

IMF 1; iteration 1 1.5 1 0.5 0 -0.5 -1 -1.5 10 20 30 40 50 60 70 80 90 100 110 120

residue 1.5 1 0.5 0 -0.5 -1 -1.5 10 20 30 40 50 60 70 80 90 100 110 120

The sifting process

IMF 1; iteration 1 1.5 1 0.5 0 -0.5 -1 -1.5 10 20 30 40 50 60 70 80 90 100 110 120

residue 1.5 1 0.5 0 -0.5 -1 -1.5 10 20 30 40 50 60 70 80 90 100 110 120

The sifting process

IMF 1; iteration 1 1.5 1 0.5 0 -0.5 -1 -1.5 10 20 30 40 50 60 70 80 90 100 110 120

residue 1.5 1 0.5 0 -0.5 -1 -1.5 10 20 30 40 50 60 70 80 90 100 110 120

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The signal is composed of 1. a high frequency triangular waveform whose amplitude is slowly (linearly) growing. 2. a middle frequency sine wave whose amplitude is quickly (linearly) decaying 3. a low frequency triangular waveform

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The sifting process

Stop criterion

A criterion for the sifting process to stop: Standard deviation, SD, computed from the two consecutive sifting results is in limited size.

:residue after the kth iteration of the 1st IMF A typical value for SD can be set between 0.2 and 0.3.

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Hilbert Transform
* Analytic Signal:

Instantaneous Frequency:

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Advantages
*Adaptive,highly efficient,applicable to nonlinear and non-stationary processes.
Traditional methods - Not appropriate for nonlinear & nonstationary signals. - Predefined basis and/or system model. - Distorted information extracted. - Full theoretical basis. EMD - Adequate for both nonlinear & nonstationary. - Adaptive data driven basis. - Preserves physical meaning. - Sharper spectrum - Lack of theoretical analysis.

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Applications of EMD
nonlinear wave evolution, climate cycles, earthquake engineering, submarine design, structural damage detection, satellite data analysis, turbulence flow, blood pressure variations and heart arrhythmia, non-destructive testing, structural health monitoring, signal enhancement, economic data analysis, investigation of brain rythms Denoising
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References

The empirical mode decomposition and the Hilbert spectrum for nonlinear and non-stationary time series analysis Huang et al., The Royal Society, 4 November 1996. Rilling Gabriel, Flandrin Patrick , Goncalv`es Paulo, On Empirical Mode Decomposition and Its Algorithms Stephen McLaughlin and Yannis Kopsinis.ppt Empirical Mode Decomposition: A novel algorithm for analyzing multicomponent signals Institute of Digital Communications (IDCOM) Hilbert-Huang Transform(HHT).ppt Yu-Hao Chen, ID:R98943021, 2010/05/07

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