2013
DOI: 10.3390/a6030407
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Noise Reduction for Nonlinear Nonstationary Time Series Data using Averaging Intrinsic Mode Function

Abstract: Abstract: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 averagin… Show more

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Cited by 13 publications
(4 citation statements)
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“…So before starting analysis one should clean the data so as to avoid the wrong conclusion. Noise removing can be handled by using traditional signal processing techniques such as digital filters or wavelet thresholding [26]. To filter outliers, k-nearest neighbor clustering [27] is widely used.…”
Section: Proposed Methodologymentioning
confidence: 99%
“…So before starting analysis one should clean the data so as to avoid the wrong conclusion. Noise removing can be handled by using traditional signal processing techniques such as digital filters or wavelet thresholding [26]. To filter outliers, k-nearest neighbor clustering [27] is widely used.…”
Section: Proposed Methodologymentioning
confidence: 99%
“…Some scholars combine these methods for research, such as Wang et al [3] proposed an improved threshold wavelet denoising algorithm based on EMD. Some scholars have proposed some new methods, such as Premanode et al [4] using the averaging intrinsic mode function to denoise the nonlinear and nonstationary time series data. Due to the complexity of the algorithm and the heavy workload of calculation, it needs long-term exploration to extend the above methods to practical application.…”
Section: Introductionmentioning
confidence: 99%
“…These methods are usually combined with the use of the yaw rate gyro and lateral acceleration sensor. However, these sensors usually contain a bias and noise [18]. In addition, a lateral accelerometer cannot provide a good identification of vehicle lateral acceleration and the gravity component of acceleration.…”
Section: Introductionmentioning
confidence: 99%