Ensemble Empirical Mode Decomposition of monthly climatic indices relevant to Australian hydroclimatology

Abstract

Application of the spectral analysis technique Ensemble Empirical Mode Decomposition (EEMD) to hydroclimatic time series produces an orthogonal set of decreasing frequency Intrinsic Mode Functions (IMFs) and a residual (or trend). As the EEMD algorithm is locally adaptive it is suitable for decomposing time series that appear non-stationary in terms of mean and variance: characteristics that are not uncommon in hydroclimatic series. EEMD utilises ensemble averaging to overcome the mode mixing problem observed in traditional Empirical Mode Decomposition (EMD). Here EEMD is briefly outlined and issues relating to the calculation of the Hilbert spectrum from EEMD output are discussed. EEMD is then applied to three climatic indices relevant to Australian hydroclimatic variability, namely the Southern Oscillation Index, Indian Ocean Dipole mode index and the Tasman Sea Index. Analysis of these indices reveals EEMD is capable of identifying physical process signals. For example, the known spectral structure of the SOI is identified by the EEMD algorithm. It was observed during analysis of the Indian Ocean Dipole mode index that EMD post processing may introduce end effects previously minimised by the EEMD ensemble average. These effects may inflate existing features, or potentially introduce low frequency artefacts, though this danger can be mitigated through careful examination of the complete Hilbert spectrum. EEMD and Hilbert spectrum analysis of hydroclimatic data provides insight into long-term trends, dominant frequencies and changes in energy with time for time series that are usually problematic to analyse with traditional spectral analysis techniques. The spectral fingerprints of the climatic indices assessed here are used in a companion paper that looks for those fingerprints within Australian precipitation and temperature data (Srikanthan et al., 2011).