Analyzing nonstationary financial time series via...

Details Analyzing nonstationary financial time series via... Analyzing nonstationary financial time series via...

2004-10-07

2008-12-09

Nghiem, Michael P (Department: 2863)

Data processing: measuring, calibrating, or testing

Measurement system

Measured signal processing

Reexamination Certificate

active

07464006

ABSTRACT:
An apparatus, computer program product and method of analyzing non-stationary time varying phenomena. A representation of a non-stationary time varying phenomenon is recursively sifted using Empirical Mode Decomposition (EMD) to extract intrinsic mode functions (IMFs). The representation is filtered to extract intrinsic trends by combining a number of IMFs. The intrinsic trend is inherent in the data and identifies an IMF indicating the variability of the phenomena. The trend also may be used to detrend the data.

REFERENCES:
patent: 6311130 (2001-10-01), Huang
patent: 6381559 (2002-04-01), Huang
patent: 6782124 (2004-08-01), Gloersen
patent: 6990436 (2006-01-01), Huang
patent: 2002/0186895 (2002-12-01), Gloersen
patent: 2004/0078160 (2004-04-01), Frei et al.
patent: 2007/0030002 (2007-02-01), Frei et al.

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