Empirical mode decomposition regression
The emdr library provides functions to perform EMD-regression as described in Masselot et al. (2018). It includes functions to perform EMD, interpret the resulting IMFs and use them in a suitable regression analysis. See the help (by typing ?emdr in the console) for details about the functions and their use.
- In R, install the package directly from github using the command (the package
devtoolsis required):
> install_github("PierreMasselot/emdr")- The package can then be loaded as usual:
library(emdr).
Huang, N.E., Shen, Z., Long, S.R., Wu, M.C., Shih, H.H., Zheng, Q., Yen, N.-C., Tung, C.C., Liu, H.H., 1998. The empirical mode decomposition and the Hilbert spectrum for nonlinear and non-stationary time series analysis. Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences 454, 903–995. https://doi.org/10.1098/rspa.1998.0193
Masselot, P., Chebana, F., Bélanger, D., St-Hilaire, A., Abdous, B., Gosselin, P., Ouarda, T.B.M.J., 2018. EMD-regression for modelling multi-scale relationships, and application to weather-related cardiovascular mortality. Science of The Total Environment 612, 1018–1029. https://doi.org/10.1016/j.scitotenv.2017.08.276