This file has been on the FEX for a while without much attention, so let me take a look.
It is a pretty specialized area, where I am not an expert, so I would not rate this tool on its intended usage. (Some of the pieces are pretty generic, so the eigen.m code is something I could talk about. It was well written.)
However, I can talk about the overall tool itself, in terms of the code. Every part I looked at had excellent documentation. There were internal comments, H1 lines, all things I like to see. Where appropriate, I found matrix operations instead of loops, etc.
...and noise. Lots of noise.
I wrote, "there is probably an N-year periodic component, some shorter-period components, and a linear trend."
I should have written, "there is probably an N-year periodic component, some shorter-period components, a linear trend, and noise."
I have a question about the applicability of HHT/EMD.
Suppose I have a time series dataset in which there is probably an N-year periodic component, some shorter-period components, and a linear trend. Unfortunately, my dataset is considerably shorter than N years. My goal is not to find the periodic components (though that would be mildly interesting), but to more accurately find the linear trend, by removing the influence of the periodic components.
Is HHT/EMD useful for this? Can it help me make a more accurate determination of the linear trend than simple linear regression analysis would do?