How Do You Make A Time Series Sing Like a Choir? Extracting Embedded Frequencies from Economic and Financial Time Series using Empirical Mode Decomposition

Patrick Crowley

Studies in Nonlinear Dynamics & Econometrics, 2012, vol. 16, issue 5, 31

Abstract: Empirical Mode Decomposition (EMD) was developed late last century, but has still to be introduced to the vast majority of economists. EMD was originally one of the components of Hilbert Huang Transform (HHT) which was a process of extracting the frequency mode features of cycles embedded in any time series using an adaptive data method which can be applied without making any assumption about stationarity or linear data-generating properties of time series. This paper introduces economists to the two constituent parts of the HHT transform, namely EMD and the Hilbert Spectrum, and also a new variant of this methodology, Ensemble EMD (EEMD). Several illustrative applications using the methodology are also included.

Date: 2012
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DOI: 10.1515/1558-3708.2080

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