norden e. huang research center for adaptive data analysis
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An Introduction to HHT: Instantaneous Frequency, Trend, Degree of Nonlinearity and Non- stationarity. Norden E. Huang Research Center for Adaptive Data Analysis Center for Dynamical Biomarkers and Translational Medicine NCU, Zhongli , Taiwan, China. - PowerPoint PPT PresentationTRANSCRIPT
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An Introduction to HHT: Instantaneous Frequency, Trend,
Degree of Nonlinearity and Non-stationarity
Norden E. Huang
Research Center for Adaptive Data AnalysisCenter for Dynamical Biomarkers and Translational Medicine
NCU, Zhongli, Taiwan, China
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OutlineRather than the implementation details,
I will talk about the physics of the method.
• What is frequency?
• How to quantify the degree of nonlinearity?
• How to define and determine trend?
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What is frequency?
It seems to be trivial.
But frequency is an important parameter for us to understand many physical phenomena.
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Definition of Frequency
Given the period of a wave as T ; the frequency is defined as
1.
T
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Instantaneous Frequency
distanceVelocity ; mean velocity
time
dxNewton v
dt
1Frequency ; mean frequency
period
dHH
So that both v and
T defines the p
can appear in differential equations.
hase functiondt
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Other Definitions of Frequency : For any data from linear Processes
j
Ti t
j 0
1. Fourier Analysis :
F( ) x( t ) e dt .
2. Wavelet Analysis
3. Wigner Ville Analysis
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Definition of Power Spectral Density
Since a signal with nonzero average power is not square integrable, the Fourier transforms do not exist in this case.
Fortunately, the Wiener-Khinchin Theroem provides a simple alternative. The PSD is the Fourier transform of the auto-correlation function, R(τ), of the signal if the signal is treated as a wide-sense stationary random process:
2i 2S( ) R( )e d S( )d ( t )
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Fourier Spectrum
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Problem with Fourier Frequency• Limited to linear stationary cases: same
spectrum for white noise and delta function.
• Fourier is essentially a mean over the whole domain; therefore, information on temporal (or spatial) variations is all lost.
• Phase information lost in Fourier Power spectrum: many surrogate signals having the same spectrum.
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Surrogate Signal:Non-uniqueness signal vs. Power Spectrum
I. Hello
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The original data : Hello
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The surrogate data : Hello
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The Fourier Spectra : Hello
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The Importance of Phase
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To utilize the phase to define
Instantaneous Frequency
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Prevailing Views onInstantaneous Frequency
The term, Instantaneous Frequency, should be banished forever from the dictionary of the communication engineer.
J. Shekel, 1953
The uncertainty principle makes the concept of an Instantaneous Frequency impossible.
K. Gröchennig, 2001
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The Idea and the need of Instantaneous Frequency
k , ;
t
tk
0 .
According to the classic wave theory, the wave conservation law is based on a gradually changing φ(x,t) such that
Therefore, both wave number and frequency must have instantaneous values and differentiable.
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p
2 2 1 / 2 1
i ( t )
For any x( t ) L ,
1 x( )y( t ) d ,
t
then, x( t )and y( t ) form the analytic pairs:
z( t ) x( t ) i y( t ) ,
wherey( t )
a( t ) x y and ( t ) tan .x( t )
a( t ) e
Hilbert Transform : Definition
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The Traditional View of the Hilbert Transform for Data Analysis
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Traditional Viewa la Hahn (1995) : Data LOD
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Traditional Viewa la Hahn (1995) : Hilbert
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Traditional Approacha la Hahn (1995) : Phase Angle
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Traditional Approacha la Hahn (1995) : Phase Angle Details
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Traditional Approacha la Hahn (1995) : Frequency
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The Real World
Mathematics are well and good but nature keeps dragging us around by the nose.
Albert Einstein
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Why the traditional approach does not work?
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Hilbert Transform a cos + b : Data
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Hilbert Transform a cos + b : Phase Diagram
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Hilbert Transform a cos + b : Phase Angle Details
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Hilbert Transform a cos + b : Frequency
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The Empirical Mode Decomposition Method and Hilbert Spectral Analysis
Sifting
(Other alternatives, e.g., Nonlinear Matching Pursuit)
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Empirical Mode Decomposition: Methodology : Test Data
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Empirical Mode Decomposition: Methodology : data and m1
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Empirical Mode Decomposition: Methodology : data & h1
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Empirical Mode Decomposition: Methodology : h1 & m2
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Empirical Mode Decomposition: Methodology : h3 & m4
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Empirical Mode Decomposition: Methodology : h4 & m5
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Empirical Mode DecompositionSifting : to get one IMF component
1 1
1 2 2
k 1 k k
k 1
x( t ) m h ,h m h ,
.....
.....h m h
.h c
.
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The Stoppage Criteria
The Cauchy type criterion: when SD is small than a pre-set value, where
T2
k 1 kt 0
T2
k 1t 0
h ( t ) h ( t )SD
h ( t )
Or, simply pre-determine the number of iterations.
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Empirical Mode Decomposition: Methodology : IMF c1
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Definition of the Intrinsic Mode Function (IMF): a necessary condition only!
Any function having the same numbers ofzero cros sin gs and extrema,and also havingsymmetric envelopes defined by local max imaand min ima respectively is defined as anIntrinsic Mode Function( IMF ).
All IMF enjoys good Hilbert Transfo
i ( t )
rm :
c( t ) a( t )e
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Empirical Mode Decomposition: Methodology : data, r1 and m1
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Empirical Mode DecompositionSifting : to get all the IMF components
1 1
1 2 2
n 1 n n
n
j nj 1
x( t ) c r ,r c r ,
x( t ) c r
. . .r c r .
.
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Definition of Instantaneous Frequency
i ( t )
t
The Fourier Transform of the Instrinsic ModeFunnction, c( t ), gives
W ( ) a( t ) e dt
By Stationary phase approximation we have
d ( t ) ,dt
This is defined as the Ins tan taneous Frequency .
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An Example of Sifting &
Time-Frequency Analysis
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Length Of Day Data
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LOD : IMF
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Orthogonality Check
• Pair-wise % • 0.0003• 0.0001• 0.0215• 0.0117• 0.0022• 0.0031• 0.0026• 0.0083• 0.0042• 0.0369• 0.0400
• Overall %
• 0.0452
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LOD : Data & c12
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LOD : Data & Sum c11-12
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LOD : Data & sum c10-12
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LOD : Data & c9 - 12
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LOD : Data & c8 - 12
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LOD : Detailed Data and Sum c8-c12
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LOD : Data & c7 - 12
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LOD : Detail Data and Sum IMF c7-c12
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LOD : Difference Data – sum all IMFs
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Traditional Viewa la Hahn (1995) : Hilbert
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Mean Annual Cycle & Envelope: 9 CEI Cases
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Mean Hilbert Spectrum : All CEs