Hilbert-Huang Transform, Empirical Mode Decomposition...
I have found it implemented in R and Matlab. I'd like to find an open source implementation of it in C#/F#/.NET.
The amount of quality open source numerical code for .NET is tiny. I struggled to find a decent FFT only a couple of years ago. So I seriously doubt you'll find a decent existing implementation of this algorithm because it is pretty obscure!
Your best bet is to build a Hilbert-Huang Transform in terms of an FFT (like the one from either of my F# books or the F#.NET Journal articles) which is, I guess, what you did in MATLAB and R?
I'm curious why you would want this though? It doesn't look very compelling to me...