A variation of empirical mode decomposition with intelligent peak selection in short time windows

This paper describes analysis of the behaviour, and establishment of different decomposition properties, of a previously presented modification of the empirical mode decomposition algorithm using fractional Gaussian noise. Importantly, the modified algorithm, called empirical mode decomposition-modified peak selection (EMDMPS), is used to explain certain aspects of the decomposition behaviour of EMD, providing novel insight into the domain. Finally, the utility of EMD-MPS is demonstrated by using it for a novel time-scale based de-trending of signals, using real-world financial time-series as an example.