Trend Extraction for seasonal Time Series Using Ensemble Empirical Mode Decomposition

In this paper, we investigate eligibility of trend extraction through the empirical mode decomposition (EMD) and performance improvement of applying the ensemble EMD (EEMD) instead of the EMD for trend extraction from seasonal time series. The proposed method is an approach that can be applied on any time series with any time scales fluctuations. In order to evaluate our algorithm, experimental comparisons with three other trend extraction methods: EMD-energy-ratio approach, EEMD-energy-ratio approach, and the Hodrick–Prescott filter are conducted.