EMD Method for Minimizing the Effect of Seasonal Trends in Detrended Cross-Correlation Analysis
Tóm tắt
Detrended cross-correlation analysis (DCCA) is a scaling method commonly used to estimate long-range power-law cross-correlation in nonstationary signals. Recent studies have reported signals superimposed with trends, which often lead to the complexity of the signals and the susceptibility of DCCA. This paper artificially generates long-range cross-correlated signals and systematically investigates the effect of seasonal trends. Specifically, for the crossovers raised by trends, we propose a smoothing algorithm based on empirical mode decomposition (EMD) method which decomposes underlying signals into several intrinsic mode functions (IMFs) and a residual trend. After the removal of slowly oscillating components and residual term, seasonal trends are eliminated.
Từ khóa
Tài liệu tham khảo
2011, Dynamics of Continuous, Discrete and Impulsive Systems B, 18, 261
2005
2001, Physical Review E, 64