THE TIME-DEPENDENT INTRINSIC CORRELATION BASED ON THE EMPIRICAL MODE DECOMPOSITION

doi:10.1142/S1793536910000471

	THE TIME-DEPENDENT INTRINSIC CORRELATION BASED ON THE EMPIRICAL MODE DECOMPOSITION
	Chen, Xianyao 1; Wu, Zhaohua 2; Huang, Norden E.3
刊名	ADVANCES IN DATA SCIENCE AND ADAPTIVE ANALYSIS
	2010-04
卷号	2 期号:2 页码:233-265
关键词	Time-Dependent Intrinsic Correlation Time-Dependent Intrinsic Cross-correlation Time-Dependent Intrinsic Auto-correlation nonlinear and nonstationary time series Empirical Mode Decomposition
ISSN号	2424-922X
DOI	10.1142/S1793536910000471
英文摘要	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 window sizes for the computation of the running correlation coefficients for multi-scale data. This new method treats the selection of the sliding window sizes as an adaptive process determined by the data itself, not a "tuning" process. Therefore, it gives an intrinsic correlation analysis of the data. Furthermore, the multi-window approach makes the new method applicable to complicated data from multi-scale phenomena. The synthetic and time series from real world are used to demonstrate conclusively that the new approach is far more superior over the traditional method in its ability to reveal detailed and subtle correlations unavailable through any other methods in existence. Thus, the TDIC represents a major advance in statistical analysis of data from nonlinear and nonstationary processes.
资助项目	NCU[965941]
WOS研究方向	Mathematics
语种	英语
出版者	WORLD SCIENTIFIC PUBL CO PTE LTD
WOS记录号	WOS:000216753900006
内容类型	期刊论文
源URL	[http://ir.fio.com.cn:8080/handle/2SI8HI0U/24733]
专题	自然资源部第一海洋研究所
通讯作者	Chen, Xianyao
作者单位	1.State Ocean Adm, Inst Oceanog 1, Qingdao 266061, Shandong, Peoples R China 2.Florida State Univ, Dept Meteorol, Tallahassee, FL 32306 USA 3.Natl Cent Univ, Res Ctr Adapt Data Anal, Chungli, Taiwan
推荐引用方式 GB/T 7714	Chen, Xianyao,Wu, Zhaohua,Huang, Norden E.. THE TIME-DEPENDENT INTRINSIC CORRELATION BASED ON THE EMPIRICAL MODE DECOMPOSITION[J]. ADVANCES IN DATA SCIENCE AND ADAPTIVE ANALYSIS,2010,2(2):233-265.
APA	Chen, Xianyao,Wu, Zhaohua,&Huang, Norden E..(2010).THE TIME-DEPENDENT INTRINSIC CORRELATION BASED ON THE EMPIRICAL MODE DECOMPOSITION.ADVANCES IN DATA SCIENCE AND ADAPTIVE ANALYSIS,2(2),233-265.
MLA	Chen, Xianyao,et al."THE TIME-DEPENDENT INTRINSIC CORRELATION BASED ON THE EMPIRICAL MODE DECOMPOSITION".ADVANCES IN DATA SCIENCE AND ADAPTIVE ANALYSIS 2.2(2010):233-265.