Underlying Trend Extraction via Joint Ensemble Intrinsic Timescale Decomposition Algorithm and Matching Pursuit Approach

Time series usually consist of an underlying trend and the irregularities. Therefore, the underlying trend extraction plays an important role in the analysis of the time series. This paper proposes a method which combines the ensemble intrinsic timescale decomposition (EITD) algorithm and the matching pursuit (MP) approach for performing the underlying trend extraction. In order to extract the underlying trend, the EITD algorithm is applied to...