Multiresolution Mode Decomposition for Adaptive Time Series Analysis

Abstract: This paper proposes the \emph{multiresolution mode decomposition} as a novel model for adaptive time series analysis. The main conceptual innovation is the introduction of the \emph{multiresolution intrinsic mode function} (MIMF) of the form [ \sum_{n=-N/2}^{N/2-1} a_n\cos(2\pi n\phi(t))s_{cn}(2\pi N\phi(t))+\sum_{n=-N/2}^{N/2-1}b_n \sin(2\pi n\phi(t))s_{sn}(2\pi N\phi(t))] to model nonlinear and non-stationary data with time-dependent amplitudes, frequencies, and waveforms. %The MIMF explains the intrinsic difficulty in concentrating time-frequency representation of nonlinear and non-stationary data and provides a new direction for mode decomposition. The multiresolution expansion coefficients ${a_n}$, ${b_n}$, and the shape function series ${s_{cn}(t)}$ and ${s_{sn}(t)}$ provide innovative features for adaptive time series analysis. For complex signals that are a superposition of several MIMFs with well-differentiated phase functions $\phi(t)$, a new recursive scheme based on Gauss-Seidel iteration and diffeomorphisms is proposed to identify these MIMFs, their multiresolution expansion coefficients, and shape function series. Numerical examples from synthetic data and natural phenomena are given to demonstrate the power of this new method.