On the Trend, Detrend and the Variability of Nonlinear and Nonstationary Time Series Norden E. Huang Research Center for Adaptive Data Analysis National Central University, Taiwan
Satellite Altimeter Data : Greenland
Two Sets of Data
IPCC Global Mean Temperature Trend
The State-of-the-Arts “ One economist’s trend is another economist’s cycle” Engle, R. F. and Granger, C. W. J Long-run Economic Relationships. Cambridge University Press. Simple trend – straight line Stochastic trend – straight line for each quarter
Philosophical Problem 名不正則言不順 言不順則事不成 —— 孔夫子
On Definition Without a proper definition, logic discourse would be impossible. Without logic discourse, nothing can be accomplished. Confucius
Definition of the Trend Within the given data span, the trend is an intrinsically determined monotonic function, or a function in which there can be at most one extremum. The trend should be determined by the same mechanisms that generate the data; it should be an intrinsic and local property. Being intrinsic, the method for defining the trend has to be adaptive. The results should be intrinsic (objective); all traditional trend determination methods give extrinsic (subjective) results. Being local, it has to associate with a local length scale, and be valid only within that length span as a part of a full wave cycle.
Definition of Detrend and Variability Within the given data span, detrend is an operation to remove the trend. Within the given data span, the Variability is the residue of the data after the removal of the trend. As the trend should be intrinsic and local properties of the data; Detrend and Variability are also local properties. All traditional trend determination methods are extrinsic and/or subjective.
The Need for HHT HHT is an adaptive (local, intrinsic, and objective) method to find the intrinsic local properties of the given data set, therefore, it is ideal for defining the trend and variability.
Two Sets of Data
Global Temperature Anomaly Annual Data from 1856 to 2003
Global Temperature Anomaly 1856 to 2003
IMF Mean of 10 Sifts : CC(1000, I)
Mean IMF
STD IMF
Statistical Significance Test
Data and Trend C6
Data and Overall Trends : EMD and Linear
Rate of Change Overall Trends : EMD and Linear
Variability with Respect to Overall trend
Data and Trend C5:6
Data and Trends: C5:6
Rate of Change Trend C5:6
Trend Period C5
Variability with Respect to 65-Year trend
How are GSTA data derived? Noise Reduction Using Global Surface Temperature Anomaly data 1856 to 2003
Jones (2003) Monthly GSTA Data
Jones (2003) 12 Monthly GSTA Data
Jones (2003) GSTA Data Seasonal Variation
Jones (2003) GSTA Data Seasonal Variance
Jones Monthly GSTA Data : Fourier Spectrum
Observations Annual data is actually the mean of 12:1 down sample set of the original monthly data. In spite of the removal of climatologic mean, there still is a seasonal peak (1 cycle / year). Seasonal Variation and Variance are somewhat irregular. Data contain no information beyond yearly frequency, for higher frequency part of the Fourier spectrum is essentially flat. Decide to filtered the Data with HHT before down sample.
Need a Filter to Remove Alias Traditional Fourier filter is inadequate: –Removal of Harmonics will distort the fundaments –Noise spikes are local in time; signals local in time have broad spectral band HHT is an adaptive filter working in time space rather than frequency space.
EMD as filters
Jones Monthly GSTA Data : IMF
Jones Monthly GSTA Data : IMF Smoothed
Jones Monthly GSTA Data & HHT Smoothed
Jones Monthly GSTA Data : Fourier Spectrum Data & Smoothed
12 Monthly GSTA Data HHT Smoothed
Jones (2003) 12 Monthly GSTA Data
GSTA : Annual Data Jones and HHT Smoothed For the Difference : Mean = ; STD =
GSTA : Annual Variance Jones and HHT Smoothed Mean HHT = ; Jones =
GSTA : HHT Smoothed Seasonal Variation
GSTA : HHT Smoothed Seasonal Variance
Summary Global Surface Temperature Anomaly should not be derived from simple annual average, because there are noises in the data. Noise with period shorter than one year could have caused alias in down sampling. Smoothing the data by removing any data with a period shorter than 8 months should improved the annual mean.
Financial Data : NasDaqSC October 11, 1984 – December 29, 2000 October 12, 2004
NasDaq Data
NasDaq IMF
NasDaq IMF Reconstruction : A
NasDaq IMF Reconstruction : B
NasDaq Various Overall Trends
NasDaq various Overall Detrends Mean : L = 0 Exp = EMD = STD : L = Exp = EMD =
NasDaq Trend IMF (C8-C9)
NasDaq Local Period for Trend IMF (C8-C9) mean = 796.6
NasDaq Trend IMF (C7-C9)
NasDaq Local Period for Trend IMF (C7-C9) Mean = 425.7
NasDaq Trend IMF (C6-C9)
NasDaq Local Period for Trend IMF (C6-C9) Mean = 196.5
NasDaq Traditional Moving Mean Trends: Details
NasDaq Trends: Moving Mean and EMD : Details
NasDaq Period of EMD Trend (C4) Mean = 35.56
NasDaq Distribution of Period for EMD Trend (C4)
NasDaq Detrended Data (C4-C9)
NasDaq Detrended Data (C4-C9) : Details
NasDaq Histogram Detrended Data (C1-C3)
Various Definitions of Variability Variability defined by percentage Gain is the absolute value of the Gain. Variability defined by daily high-low is the percentage of absolute value of High-Low. Variability defined by Empirical Mode Decomposition is the percentage of the absolute value of the sum from selected IMFs. Financial data do not look like ARIMA.
NasDaq Variability defined by EMD : C1
NasDaq Variability defined by Gain
NasDaq Variability defined by Daily High-Low
NasDaq Period of Variability defined by EMD : C1 Mean = 8.38
NasDaq Histogram Period of EMD Variability : C1
NASDAQ Price gradient vs. Gain Variability
NASDAQ Price gradient vs. High-Low Variability
NASDAQ Price gradient vs. EMD Variability
Relationship between Variability: Gain vs. EMD
Relationship between Variability: Gain vs. High- Low
Relationship between Variability: EMD vs. High- Low
Statistical Significance Test Only the statistical Significant IMF components are signal above noise; therefore, they might be predictable.
Statistical Significance Test : Gain
Statistical Significance Test : High-Low
Statistical Significance Test : EMD
Statistical Significance Test : All Variability Definitions
The Sum of all the Statistical Significance IMFs
Relationship among Trends: Gain vs. EMD
Relationship among Trends: Gain vs. High-Low
Relationship among Trends: EMD vs. High-Low
Summary A working definition for the trend is established; it is a function of the local time scale. Need adaptive method to analysis nonstationary and nonlinear data for trend and variability. Various definitions for variability should be compared in details to determine their significance. Predictions should be made based on processes driven models, not on data.
Conclusion Trend is a local property of the data; it should associate with a length scale. Trend should be determined adaptively; therefore, we should not pre-select the functional form of the trend. Variability should have a reference; the trend is a good reference.