The Empirical Mode Decomposition algorithm via Fast Fourier Transform

Abstract

In this paper we consider a problem of implementing a fast algorithm for the Empirical Mode Decomposition (EMD). EMD is one of the newest methods for decomposition of non-linear and non-stationary signals. A basis of EMD is formed on-the-fly, i.e. it depends from a distribution of the signal and not given a priori in contrast on cases Fourier Transform (FT) or Wavelet Transform (WT). The EMD requires interpolating of local extrema sets of signal to find upper and lower envelopes. The data interpolation on an irregular lattice is a very low-performance procedure. A classical description of EMD by Huang suggests doing this through splines, i.e. through solving of a system of equations. Existence of a fast algorithm is the main advantage of the FT. A simple description of an algorithm in terms of Fast Fourier Transform (FFT) is a standard practice to reduce operation's count. We offer a fast implementation of EMD (FEMD) through FFT and some other cost-efficient algorithms. Basic two-stage interpolation algorithm for EMD is composed of a Upscale procedure through FFT and Downscale procedure through a selection procedure for signal's points. First we consider the local maxima (or minima) set without reference to the axis OX, i.e. on a regular lattice. The Upscale through the FFT change the signal’s length to the Least Common Multiple (LCM) value of all distances between neighboring extremes on the axis OX. If the LCM value is too large then it is necessary to limit local set of extrema. In this case it is an analog of the spline interpolation. A demo for FEMD in noise reduction task for OCT has been shown.