Noise Reduction for Nonlinear Nonstationary Time Series Data using Averaging Intrinsic Mode Function
A novel noise filtering algorithm based on averaging Intrinsic Mode Function (aIMF), which is a derivation of Empirical Mode Decomposition (EMD), is proposed to remove white-Gaussian noise of foreign currency exchange rates that are nonlinear nonstationary times series signals. Noise patterns with d...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2013-07-01
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| Series: | Algorithms |
| Subjects: | |
| Online Access: | http://www.mdpi.com/1999-4893/6/3/407 |
| _version_ | 1818198766255079424 |
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| author | Christofer Toumazou Jumlong Vongprasert Bhusana Premanode |
| author_facet | Christofer Toumazou Jumlong Vongprasert Bhusana Premanode |
| author_sort | Christofer Toumazou |
| collection | DOAJ |
| description | A novel noise filtering algorithm based on averaging Intrinsic Mode Function (aIMF), which is a derivation of Empirical Mode Decomposition (EMD), is proposed to remove white-Gaussian noise of foreign currency exchange rates that are nonlinear nonstationary times series signals. Noise patterns with different amplitudes and frequencies were randomly mixed into the five exchange rates. A number of filters, namely; Extended Kalman Filter (EKF), Wavelet Transform (WT), Particle Filter (PF) and the averaging Intrinsic Mode Function (aIMF) algorithm were used to compare filtering and smoothing performance. The aIMF algorithm demonstrated high noise reduction among the performance of these filters. |
| first_indexed | 2024-12-12T02:11:05Z |
| format | Article |
| id | doaj.art-77234ed6bd7d4e289cd3c6e05f3e33ee |
| institution | Directory Open Access Journal |
| issn | 1999-4893 |
| language | English |
| last_indexed | 2024-12-12T02:11:05Z |
| publishDate | 2013-07-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Algorithms |
| spelling | doaj.art-77234ed6bd7d4e289cd3c6e05f3e33ee2022-12-22T00:41:54ZengMDPI AGAlgorithms1999-48932013-07-016340742910.3390/a6030407Noise Reduction for Nonlinear Nonstationary Time Series Data using Averaging Intrinsic Mode FunctionChristofer ToumazouJumlong VongprasertBhusana PremanodeA novel noise filtering algorithm based on averaging Intrinsic Mode Function (aIMF), which is a derivation of Empirical Mode Decomposition (EMD), is proposed to remove white-Gaussian noise of foreign currency exchange rates that are nonlinear nonstationary times series signals. Noise patterns with different amplitudes and frequencies were randomly mixed into the five exchange rates. A number of filters, namely; Extended Kalman Filter (EKF), Wavelet Transform (WT), Particle Filter (PF) and the averaging Intrinsic Mode Function (aIMF) algorithm were used to compare filtering and smoothing performance. The aIMF algorithm demonstrated high noise reduction among the performance of these filters.http://www.mdpi.com/1999-4893/6/3/407empirical mode decompositionIntrinsic Mode FunctionWavelet Transformnoise reductionexchanges rates |
| spellingShingle | Christofer Toumazou Jumlong Vongprasert Bhusana Premanode Noise Reduction for Nonlinear Nonstationary Time Series Data using Averaging Intrinsic Mode Function Algorithms empirical mode decomposition Intrinsic Mode Function Wavelet Transform noise reduction exchanges rates |
| title | Noise Reduction for Nonlinear Nonstationary Time Series Data using Averaging Intrinsic Mode Function |
| title_full | Noise Reduction for Nonlinear Nonstationary Time Series Data using Averaging Intrinsic Mode Function |
| title_fullStr | Noise Reduction for Nonlinear Nonstationary Time Series Data using Averaging Intrinsic Mode Function |
| title_full_unstemmed | Noise Reduction for Nonlinear Nonstationary Time Series Data using Averaging Intrinsic Mode Function |
| title_short | Noise Reduction for Nonlinear Nonstationary Time Series Data using Averaging Intrinsic Mode Function |
| title_sort | noise reduction for nonlinear nonstationary time series data using averaging intrinsic mode function |
| topic | empirical mode decomposition Intrinsic Mode Function Wavelet Transform noise reduction exchanges rates |
| url | http://www.mdpi.com/1999-4893/6/3/407 |
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