Financial Time Series Forecasting Based on Long-Short Term Memory, Complete Ensemble Empirical Mode Decomposition with Adaptive Noise and Batch Normalization.

In this study, different kinds of hybrid Complete Ensemble Empirical Mode Decomposition with Adaptive Noise (CEEMDAN) algorithms with forecasting models including Random Forest (RF), Gated Recurrent Unit (GRU), and Long Short-Term Memory (LSTM) neural networks, are developed to estimate the mean daily wind speed at the height of 2 m in Ağrı city (WS st12 ), Turkey. In these hybrid models, different layer networks of single and integrated LSTM and GRU models include general single LSTM, general single GRU, simple coupled LSTM-GRU, and novel coupled LSTM with GRU through Addition layer (i.e., LSTM + GRU model) structures are applied. The most effective parameters on the WS st12 , from a list of on-site potential meteorological parameters and wind speed values in its adjacent cities of Ağrı province from Jan 2015–Dec 2019 through the Pearson correlation coefficient method, are determined. In the hybrid CEEMDAN and DNNs-based models, State activation functions (SAF), numbers of hidden neurons (NHN), dropout rates (P-rate), and network structural architect (NSA) as the meta-parameters are tuned for lessening the impact of overfitting/underfitting dilemmas and improving modeling performance. According to the comparison plots, performance evaluation measures, and total learnable parameter (TLP), the novel developed hybrid CEEMDAN-RF-(LSTM + GRU) model is confirmed as the best approach with an R 2 of 0.86 while, in the optimal scenario using the RF model, R 2 was 0.47. Graphical Abstract Based on the graphical snapshot, this study focuses on estimating daily mean wind speed at a 2-meter height in Ağrı, Turkey, using hybrid data-driven models. The research integrates the Complete Ensemble Empirical Mode Decomposition with Adaptive Noise (CEEMDAN) algorithm with advanced forecasting techniques, including Random Forest (RF), Long Short-Term Memory (LSTM), and Gated Recurrent Unit (GRU) neural networks. The modeling framework explores various configurations, such as standalone LSTM and GRU, coupled LSTM-GRU structures, and a novel LSTM + GRU model using an Addition layer to enhance predictive accuracy.

Financial time series forecasting model based on CEEMDAN and LSTM

Accurate prediction of Global Navigation Satellite System-derived precipitable water vapor (GNSS-PWV), which is a crucial indicator for climate change monitoring, holds significant scientific value for climate disaster prevention and mitigation. In the study of GNSS-PWV prediction, the complete ensemble empirical mode decomposition with adaptive noise (CEEMDAN) algorithm within a decomposition–integration framework effectively addresses the non-stationarity and complexity of PWV sequences, enhancing prediction accuracy. However, residual noise and pseudo-modes from decomposition can distort signals, reducing the predictor system’s reliability. Additionally, independent modeling of all decomposed components decreases computational efficiency. To address these challenges, this paper proposes a hybrid model combining the improved complete ensemble empirical mode decomposition with adaptive noise (ICEEMDAN), autoregressive integrated moving average (ARIMA), and long short-term memory (LSTM) networks. Enhanced by local mean optimization and adaptive noise regulation, the ICEEMDAN algorithm effectively suppresses pseudo-modes and minimizes residual noise, enabling its decomposed intrinsic mode functions (IMFs) to more accurately capture the multi-scale features of GNSS-PWV. Sample entropy (SE) is used to quantify the complexity of IMFs, and components with similar entropy values are reconstructed into the following three sub-sequences: high-frequency, low-frequency, and trend. This process significantly reduces modeling complexity and improves computational efficiency. We propose different modeling strategies tailored to the dynamics of various subsequences. For the nonlinear and non-stationary high-frequency components, the LSTM network is used to effectively capture their complex patterns. The LSTM’s gating mechanism and memory cell design proficiently address the long-term dependency issue. For the stationary and weakly nonlinear low-frequency and trend components, linear patterns are extracted using ARIMA. Differencing eliminates trends and moving average operations capture random fluctuations, effectively addressing periodicity and trends in the time series. Finally, the prediction results of the three components are linearly combined to obtain the final prediction value. To validate the model performance, experiments were conducted using measured GNSS-PWV data from several stations in Hong Kong. The results demonstrate that the proposed model reduces the root mean square error by 56.81%, 37.91%, and 13.58% at the 1 h scale compared to the LSTM, EMD-LSTM, and ICEEMDAN-SE-LSTM benchmark models, respectively. Furthermore, it exhibits strong robustness in cross-month forecasts (accounting for seasonal influences) and multi-step predictions over the 1–6 h period. By improving the accuracy and efficiency of PWV predictions, this model provides reliable technical support for the real-time monitoring and early warning of extreme weather events in Hong Kong while offering a universal methodological reference for multi-scale modeling of geophysical parameters.

The performance of tissue imaging is improved by tissue harmonic imaging (THI) to expand and enhance the range and level of clinical diagnosis for many diseases. The separation based on High-pass filtering (S_HPF) is a commonly used method for extracting harmonic components from ultrasonic echo signals. However, the cut-off frequency, order and algorithm to realize a high-pass filter have a great influence on the separation accuracy of harmonic signals. In present study, a novel separation method (S_CEEMDAN) based on the complete ensemble empirical mode decomposition with adaptive noise (CEEMDAN) algorithm is proposed for adaptively separating harmonic components from ultrasonic echo signals. First, we calculate the ensemble size of CEEMDAN adaptively based on the added noise level, and draw a sum of intrinsic mode functions (IMFs) from the ultrasonic echo signals by CEEMDAN. Then, the spectrum of each IMF is computed and evaluated, and the IMFs containing both fundamental and harmonic components are further decomposed by using the CEEMDAN algorithm. This separation process is end until all of IMFs have been divided into either fundamental or harmonic categories. Finally, the corresponding fundamental and harmonic echo signals are yielded by accumulating separately these two categories. In experiments, simulated ultrasonic echo signals with a center frequency of 3.5MHz are separated by the proposed S_CEEMDAN method, and the results are compared with those processed by S_HPF. The edge of the harmonic image by S_CEEMDAN marginally better defined than S_HPF. The indices for the harmonic signals separated by S_CEEMDAN and S_HPF, respectively, are as follows: the center frequencies of 6.66 MHz and 6.65 MHz, 3 dB bandwidths of 1.04 MHz and 1.05 MHz, 6 dB bandwidths of 1.59 MHz and 1.55 MHz, signal-to-noise ratios (SNRs) of 14.00 and 13.63, and image contrasts of 7.01 and 7.06. In conclusion, due to good adaptive characteristics, and lower reconstruction errors, the proposed S_CEEMD method is superior to S_HPF in the performance of spectral accuracy and harmonic imaging. This method could be potentially alternative to the current method for the ultrasonic harmonic separation.

ABSTRACTThis study aims to forecast the S&P 500 ESG index using the mixture model of complete ensemble empirical mode decomposition with adaptive noise (CEEMDAN) and long short‐term memory (LSTM) prediction models. CEEMDAN enables decomposing the index's original return series into different intrinsic mode functions (IMFs) and a residual series. The decomposed IMFs are then regrouped into aggregate series depicting high frequency and medium frequency, while the residual series represent the trend component. LSTM algorithm is used on the aggregated series to obtain predicted values of the same. The study compares different prediction algorithms to identify their performance and explore the predictive power of the hybrid models.

Accurate power load forecasting plays an important role in smart grid analysis. To improve the accuracy of forecasting through the three-level “decomposition–optimization–prediction” innovation, this study proposes a prediction model that integrates complete ensemble empirical mode decomposition with adaptive noise (CEEMDAN), the improved sparrow search algorithm (ISSA), a convolutional neural network (CNN), and bidirectional long short-term memory (BiLSTM). A series of simpler intrinsic mode functions (IMFs) with different frequency characteristics can be decomposed by CEEMDAN from data, then each IMF is reconstructed based on calculating the sample entropy of each IMF. The ISSA introduces three significant enhancements over the standard sparrow search algorithm (SSA), including that the initial distribution of the population is determined by the optimal point set, the position of the discoverer is updated by the golden sine strategy, and the random walk of the population is enhanced by the Lévy flight strategy. By the optimization of the ISSA to the parameters of the CNN-BiLSTM model, integrating the prediction results of the reconstructed IMFs in the sub-models can obtain the final prediction result of the data. Through the performance indexes of the designed prediction model, the application case results show that the proposed combined prediction model has a smaller prediction error and higher prediction accuracy than the eight comparison models.

Warships play an important role in the modern sea battlefield. Research on the line spectrum features of warship radio noise signals is helpful to realize the classification and recognition of different types of warships, and provides critical information for sea battlefield. In this paper, we proposed a novel linear spectrum frequency feature extraction technique for warship radio noise based on complete ensemble empirical mode decomposition with adaptive noise (CEEMDAN), duffing chaotic oscillator (DCO), and weighted-permutation entropy (W-PE). The proposed linear spectrum frequency feature extraction technique, named CEEMDAN-DCO-W-PE has the following advantages in comparison with other linear spectrum frequency feature extraction techniques; (i) as an adaptive data-driven algorithm, CEEMDAN has more accurate and more reliable decomposition performance than empirical mode decomposition (EMD) and ensemble EMD (EEMD), and there is no need for presetting parameters, such as decomposition level and basis function; (ii) DCO can detect the linear spectrum of narrow band periodical warship signals by way of utilizing its properties of sensitivity for weak periodical signals and the immunity for noise; and (iii) W-PE is used in underwater acoustic signal feature extraction for the first time, and compared with traditional permutation entropy (PE), W-PE increases amplitude information to some extent. Firstly, warship radio noise signals are decomposed into some intrinsic mode functions (IMFs) from high frequency to low frequency by CEEMDAN. Then, DCO is used to detect linear spectrum of low-frequency IMFs. Finally, we can determine the linear spectrum frequency of low-frequency IMFs using W-PE. The experimental results show that the proposed technique can accurately extract the line spectrum frequency of the simulation signals, and has a higher classification and recognition rate than the traditional techniques for real warship radio noise signals.

The stock index is an important indicator to measure stock market fluctuation, with a guiding role for investors’ decision-making, thus being the object of much research. However, the stock market is affected by uncertainty and volatility, making accurate prediction a challenging task. We propose a new stock index forecasting model based on time series decomposition and a hybrid model. Complete Ensemble Empirical Mode Decomposition with Adaptive Noise (CEEMDAN) decomposes the stock index into a series of Intrinsic Mode Functions (IMFs) with different feature scales and trend term. The Augmented Dickey Fuller (ADF) method judges the stability of each IMFs and trend term. The Autoregressive Moving Average (ARMA) model is used on stationary time series, and a Long Short-Term Memory (LSTM) model extracts abstract features of unstable time series. The predicted results of each time sequence are reconstructed to obtain the final predicted value. Experiments are conducted on four stock index time series, and the results show that the prediction of the proposed model is closer to the real value than that of seven reference models, and has a good quantitative investment reference value.

Based on the complete ensemble empirical mode decomposition with adaptive noise (CEEMDAN) theory, a new adaptive hybrid algorithm for sea clutter denoising is proposed. The chaotic sea clutter signals are decomposed into several intrinsic modal functions (IMF) which start from high-frequency scales to low-frequency scales by using CEEMDAN. According to the relationship between the pretreatment threshold layer and the maximum cross correlation coefficient of the original signal and each IMF corresponding the layer, the proposed algorithm can independently select the wavelet threshold denoising to pretreat. After the pretreatment of original signals, we continue to decompose the signal by CEEMDAN. And later, according to the relationship between the first local minimum corresponding the layers of two adjacent critical IMFs identified by the cross correlation coefficients of the original signal and each IMF, the proposed algorithm adaptively selects the IMFs which need to be filtered. Finally, the IMFs after filtering are reconstructed into a new signal. Rossler, Lorenz system and the measured sea clutter data were selected as examples to study, the result shows that: under the condition of low noise (SNR ≥ 5dB) and high noise (SNR ≤ 0dB), the proposed algorithm can decrease the root mean square error by at least 57% and 72% compared with wavelet threshold denoising etc, the signal to noise ration increased by 3.18-5.64db and 5.73-7.45db. Moreover, the root mean square error after sea clutter signal denoising can be reduced by one order of magnitude, reaching 0.0006147 while the model before denoising only reach 0.0084, which shows that the proposed algorithm is effective for sea clutter signal denoising.

This paper proposes a high and low frequency filtering denoising algorithm based on Complete Ensemble Empirical Mode Decomposition with Adaptive Noise (CEEMDAN). CEEMDAN to address the issue of noise in speech signals obtained in the environment of fully mechanized mining face equipment trains. This algorithm first decomposes speech signals into multiple Intrinsic Mode Functions (IMFs) in different frequency domains through CEEMDAN, then uses Hilbert-Huang Transform (HHT) to obtain the instantaneous frequency and amplitude of IMFs, calculates the Euclidean distance between IMFs, normalizes it to obtain the average distance between IMFs, and divides the IMFs components into high and low frequency categories based on the average distance. Next, Optimally Modified Log Spectral Amplitude (OMLSA) algorithm and Kalman filtering algorithm are used for the high-frequency and low-frequency IMF components, respectively. Finally, the processed IMF components are reconstructed to obtain a denoised signal. After comparative experiments, the noise reduction algorithm proposed in this paper significantly improves the Signal to Noise Ratio (SNR), Peak Signal to Noise Ratio (PSNR), Mean Square Error (RMSE), and Mean Absolute Distance (MAE) of speech signals obtained in the environment of fully mechanized mining face equipment trains compared to other commonly used noise reduction algorithms.

I335 the training of Support Vector Machine (SVM) classification model, some problems such as over-fitting, under-fitting, slow training speed and prediction affected by penalty and kernel function parameters are exposed. A fault classification method of rolling bearing based on Complete Ensemble Empirical Mode Decomposition with Adaptive Noise (CEEMDAN) and Grey Wolf Optimization (GWO) -SVM is proposed. Firstly, the acquire signals are adaptively decomposed into a plurality of Intrinsic Mode Function(IMF) component by CEEMDAN, and the energy entropy of each IMF component is extracted to form a set of high dimensional feature vector. Then, the processed feature vectors are introduced into the diagnosis network of GWO-SVM algorithm to build a fault classification model of motor rolling bearing. The classification results show that the CEEMDAN and GWO-SVM fault classification network of motor rolling bearing has higher accuracy and shorter diagnosis time than Particle Swarm Optimization (PSO) -SVM and Cross Validation (CV) -SVM.

A method of planetary gear fault diagnosis based on the fuzzy entropy of complete ensemble empirical mode decomposition with adaptive noise (CEEMDAN) and multi-layer perceptron (MLP) neural network is proposed. The vibration signal is decomposed into multiple intrinsic mode functions (IMFs) by CEEMDAN, and the fuzzy entropy that combines the fuzzy function and sample entropy is proposed and used to extract the feature information contained in each IMF. The fuzzy entropies of each IMF are defined as the input of the MLP neural network, and the planetary gear status can be recognized by the output. The experiments prove the proposed method is effective.

In this paper, we propose a novel ECG signal enhancement method based on Complete Ensemble Empirical Mode Decomposition with Adaptive Noise (CEEMDAN) and Higher Order Statistics (HOS). In our scheme, the noisy ECG signal is first decomposed adaptively into oscillatory components called intrinsic mode functions (IMFs) by using Empirical Mode Decomposition (EMD) or its variants. Therefore, the obtained modes are separated into two groups of noisy signal modes and one group of useful signal modes, by using a novel criterion derived from the HOS namely the fourth order cumulant or kurtosis. After that, a modified shrinkage scheme based on Interval Thresholding technique is adaptively applied to each selected IMF from the noise-dominant groups in order to reduce the noise and to preserve the QRS complex. The overall filtered ECG signal is then reconstructed by combining the thresholded IMFs and the retained unprocessed lower frequency relevant IMFs. Various tests and simulations are investigated to evaluate the performance of our proposed approach in combination with the EMD, Ensemble EMD (EEMD) and CEEMDAN algorithms. The simulation results carried on MIT-BIH Arrhythmia database, show that CEEMDAN method gives better performance than the two other methods, and outperforms some state-of-the-art methods in terms of Signal to Noise Ratio (SNR) and Root Mean Square Error (RMSE).

The critical step in the mechanical fault diagnoses of a high-voltage circuit breaker (HVCB) is the extraction of mechanical state characteristics. The effectiveness of these characteristics is related to the accuracy of the corresponding diagnostic results. A novel method for the mechanical fault feature extraction of a HVCB via complete ensemble empirical mode decomposition with adaptive noise (CEEMDAN) and weighted time-frequency entropy is proposed in this study. First, the time-frequency decomposition of vibration signals is performed by the CEEMDAN and the Hilbert transform to obtain the instantaneous frequency of intrinsic mode function (IMF) components. Then, the IMFs are reconstructed via a bandpass filter to gain a signal component of the specified frequency band. In addition, the weighted time-frequency entropy feature is extracted from the energy matrix. Through the verification of multiple groups of classifiers, the diagnostic results have a higher accuracy, which indicates that the proposed method can effectively characterize different mechanical faults.

Variation of the Kuroshio path south of Japan has an important impact on weather, climate, and ecosystems due to its distinct features. Motivated by the ever-popular deep learning methods using neural network architectures in areas where more accurate reference data for oceanographic observations and reanalysis are available, we build four deep learning models based on the long short-term memory (LSTM) neural network, combined with the empirical orthogonal function (EOF) and complete ensemble empirical mode decomposition with adaptive noise (CEEMDAN), namely, the LSTM, EOF–LSTM, CEEMDAN–LSTM, and EOF–CEEMDAN–LSTM. Using these models, we conduct long-range predictions (120 days) of the Kuroshio path south of Japan based on 50-yr ocean reanalysis and nearly 15 years of satellite altimeter data. We show that the EOF–CEEMDAN–LSTM performs the best among the four models, by attaining approximately 0.739 anomaly correlation coefficient and 0.399° root-mean-square error for the 120-day prediction of the Kuroshio path south of Japan. The hindcasts of the EOF–CEEMDAN–LSTM are successful in reproducing the observed formation and decay of the Kuroshio large meander during 2004/05, and the formation of the latest large meander in 2017. Finally, we present predictions of the Kuroshio path south of Japan at 120-day lead time, which suggest that the Kuroshio will remain in the state of the large meander until November 2022.