NEW INSTANTANEOUS FREQUENCY DEFINITION FOR IMF AND ITS APPLICATION IN FINANCIAL DATA ANALYSIS

摘要

The empirical mode decomposition (EMD) is a useful algorithm for analyzing nonlinear and non-stationary data. The algorithm, depending on certain splines and a threshold previously set, results in a finite number of basic functions called intrinsic mode functions (IMFs). The present paper proposes a method to compute the instantaneous frequency (IF) of IMFs. Based on the defined IF we can formulate time-frequency distributions. An illustrative example is given based on the stock market data of Hong Kong Hang Seng Index.