Use wavelet transform to extract a waveform of certain frequency
The mother wavelet is a bandpass filter. This means we have to apply the CWT(in this case), calculate the correspondence between scales and frequencies, zero out everything outside the known frequency band for the alpha wave and invert the transform. 

data = Import["your_sample_eeg_data"];

ListLinePlot[data]



  


cwd = ContinuousWaveletTransform[data, MorletWavelet[], SampleRate -&gt; 200, Padding -&gt; 0]

freq = (cwd["SampleRate"]/(#1 cwd["Wavelet"]["FourierFactor"])) &amp; /@ 
   (Thread[{Range[cwd["Octaves"]], 1}] /. cwd["Scales"]);

ticks = Transpose[{Range[Length[freq]], freq}];

WaveletScalogram[cwd, Frame -&gt; True, FrameTicks -&gt; {{ticks, Automatic}, Automatic}, 
 FrameLabel -&gt; {"Time", "Frequency(Hz)"}, ColorFunction -&gt; "SunsetColors", ImageSize -&gt; 500]



  


So, we are interested in the 5th octave(the region between 10.51 and 5.25, of course, roughly speaking)

mwd = WaveletMapIndexed[#1 0 &amp;, cwd, Except[{5, _}]]

WaveletScalogram[mwd, ColorFunction -&gt; "SunsetColors"]



  


It's like performing a brain surgery with a chainsaw ;__;

ListLinePlot[InverseContinuousWaveletTransform[mwd]]




Those are the basic steps I would perform if I have to extract a signal within a certain frequency band.