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In this paper, we introduce a new adaptive data analysis method to study trend and instantaneous frequency of nonlinear and nonstationary data. This method is inspired by the Empirical Mode Decomposition method (EMD) and the recently developed compressed (compressive) sensing theory. The main idea is to look for the sparsest representation of multiscale data within the largest possible dictionary consisting of intrinsic mode functions of the form {a(t) cos(θ(t))}, where a ∈ V (θ), V (θ) consists of the functions smoother than cos(θ(t)) and θ   0. This problem can be formulated as a nonlinear l0 optimization problem. In order to solve this optimization problem, we propose a nonlinear matching pursuit method by generalizing the classical matching pursuit for the l0 optimization problem. One important advantage of this nonlinear matching pursuit method is it can be implemented very efficiently and is very stable to noise. Further, we provide an error analysis of our nonlinear matching pursuit method under certain scale separation assumptions. Extensive numerical examples will be given to demonstrate the robustness of our method and comparison will be made with the state-of-the-art methods. We also apply our method to study data without scale separation, and data with incomplete or under-sampled data.

Time–frequency analysis，Instantaneous frequency，Sparse decomposition，Matching pursuit