Disentangling stochastic signals superposed with periodic oscillations
Journal article, Peer reviewed
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OriginalversjonKampers, G., Waechter, M., Hoelling, M., Lind, P., Queiros, S.D.A. & Peinke, J. (2020). Disentangling stochastic signals superposed with periodic oscillations. Physics Letters A. 384(126307). doi:https://doi.org/10.1016/j.physleta.2020.126307 https://dx.doi.org/10.1016/j.physleta.2020.126307
We introduce a procedure for separating periodic oscillations superposed on a stochastic signal. The procedure combines empirical mode decomposition (EMD) of a signal with tools of data analysis based on stochastic differential equations, namely nonlinear Langevin equations. Taking the set of modes retrieved from the EMD of the signal, our procedure is able to separate them into two groups, one composing the periodic signal and another composing the stochastic signal. The framework is robust for a broad family of localized oscillations, in the range of large frequencies. In particular, we show that, in this context, the EMD method outperforms a low-pass filter and is robust for a wide interval of different frequency ranges and amplitudes of the periodic oscillation, as well as for a broad family of different non-linear Langevin processes.