Hilbert-Huang Transform, Empirical Mode Decomposition...
I have found it implemented in R and Matlab. I'd like to find an open source implementation of it in C#/F#/.NET.
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The amount of quality open source numerical code for .NET is tiny. I struggled to find a decent FFT only a couple of years ago. So I seriously doubt you'll find a decent existing implementation of this algorithm because it is pretty obscure!
Your best bet is to build a Hilbert-Huang Transform in terms of an FFT (like the one from either of my F# books or the F#.NET Journal articles) which is, I guess, what you did in MATLAB and R?
I'm curious why you would want this though? It doesn't look very compelling to me...
Jon Harrop
2010-08-12 22:05:51
I didn't do it in MATLAB or R--I just found something that someone else had done. And it's quite different FFT (similar in purpose, yes, very different in approach), which is one of the reasons it's interesting to me. For the things I'm working with, FFT has various significant issues.
taotree
2010-08-14 05:43:19
@taotree: I meant that I suspect the R and MATLAB code you found uses the FFT to compute the Hilbert transform. You might appreciate some of the alternative techniques I described in the third chapter of my PhD thesis: http://www.ffconsultancy.com/free/thesis.pdf
Jon Harrop
2010-08-14 12:17:55
@Jon I appreciate your response. It's not a Hilbert transform, and as far as I know an FFT would not be used in it's calculation.I skimmed through your thesis, it looks interesting. It appears you suggest standard wavelet analysis but propose a new mother wavelet?
taotree
2010-09-04 21:15:50
@taotree: Standard complex-valued continuous wavelet transform with a new mother wavelet and new quantifications of instantaneous frequency and amplitude from the results.
Jon Harrop
2010-09-04 23:22:48