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THE TIME-DEPENDENT INTRINSIC CORRELATION BASED ON THE EMPIRICAL MODE DECOMPOSITION
2010
Advances in Adaptive Data Analysis
A Time-Dependent Intrinsic Correlation (TDIC) method is introduced. This new approach includes both auto-and cross-correlation analysis designed especially to analyze, capture and track the local correlations between nonlinear and nonstationary time series pairs. The approach is based on Empirical Mode Decomposition (EMD) to decompose the nonlinear and nonstationary data into their intrinsic mode functions (IMFs) and uses the instantaneous periods of the IMFs to determine a set of the sliding
doi:10.1142/s1793536910000471
fatcat:wyksjk3ekfcclgslppw7jtxcmm