Feature Request: A test for the statistical information content in IMF components of Empirical Mode Decomposition

[oshin94]

Is your feature request related to a problem? Please describe

The test for whether an IMF from a decomposed time-series using EMD has information or not has is not available in any python library. I could not find a single library anywhere on the internet, python or Matlab where I could perform the test.

Describe the solution you'd like

I want to contribute towards the project by adding the feature to test for the statistical information content in IMF components of Empirical Mode Decomposition.
The methodology was proposed by Zhaohua Wu, & Huang, N. E. (2004) in their paper, "A study of the characteristics of white noise using the empirical mode decomposition method" and has been established as an effective method to analyse trends especially for hydrological time series.
link: Original Paper
link: statistical test for trend identification

Describe alternatives you have considered

I tried to find alternatives in MATLAB but its not available hence had to make my own code in python.

Additional context

The test will be helpful for people utilizing EMD decompositions and especially in the Hydrological time series analysis. Kindly let me know if the feature is in line with the aim of this project and if I may raise a PR.