Data-driven time-frequency analysis of multivariate data

Abstract

Empirical Mode Decomposition (EMD) is a data-driven method for the decomposition and time-frequency analysis of real world nonstationary signals. Its main advantages over other time-frequency methods are its locality, data-driven nature, multiresolution-based decomposition, higher time-frequency resolution and its ability to capture oscillation of any type (nonharmonic signals). These properties have made EMD a viable tool for real world nonstationary data analysis. Recent advances in sensor and data acquisition technologies have brought to light new classes of signals containing typically several data channels. Currently, such signals are almost invariably processed channel-wise, which is suboptimal. It is, therefore, imperative to design multivariate extensions of the existing nonlinear and nonstationary analysis algorithms as they are expected to give more insight into the dynamics and the interdependence between multiple channels of such signals. To this end, this thesis presents multivariate extensions of the empirical mode de- composition algorithm and illustrates their advantages with regards to multivariate non- stationary data analysis. Some important properties of such extensions are also explored, including their ability to exhibit wavelet-like dyadic filter bank structures for white Gaussian noise (WGN), and their capacity to align similar oscillatory modes from multiple data channels. Owing to the generality of the proposed methods, an improved multi- variate EMD-based algorithm is introduced which solves some inherent problems in the original EMD algorithm. Finally, to demonstrate the potential of the proposed methods, simulations on the fusion of multiple real world signals (wind, images and inertial body motion data) support the analysis.