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A Study of the Characteristics of MEMD for Fractional Gaussian Noise
Huan HAO Huali WANG Naveed UR REHMAN Hui TIAN
IEICE TRANSACTIONS on Fundamentals of Electronics, Communications and Computer Sciences
Publication Date: 2016/06/01
Online ISSN: 1745-1337
Type of Manuscript: LETTER
Category: Digital Signal Processing
empirical mode decomposition, multivariate empirical mode decomposition, fractional Gaussian noise, Hurst exponent,
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The dyadic filter bank property of multivariate empirical mode decomposition (MEMD) for white Gaussian noise (WGN) is well established. In order to investigate the way MEMD behaves in the presence of fractional Gaussian noise (fGn), we conduct thorough numerical experiments for MEMD for fGn inputs. It turns out that similar to WGN, MEMD follows dyadic filter bank structure for fGn inputs, which is more stable than empirical mode decomposition (EMD) regardless of the Hurst exponent. Moreover, the estimation of the Hurst exponent of fGn contaminated with different kinds of signals is also presented via MEMD in this work.