ESTIMATING THE EMBEDDING DIMENSION AND DELAY TIME FROM CHAOTIC TIME SERIES WITH DYNAMIC NOISE

Kaoru Fueda; Takashi Yanagawa

doi:10.14490/jjss1995.31.27

JOURNAL OF THE JAPAN STATISTICAL SOCIETY

Online ISSN : 1348-6365
Print ISSN : 1882-2754
ISSN-L : 1348-6365

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Volume 31 (2001) Issue 1
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ESTIMATING THE EMBEDDING DIMENSION AND DELAY TIME FROM CHAOTIC TIME SERIES WITH DYNAMIC NOISE

Kaoru Fueda, Takashi Yanagawa

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Keywords: Chaotic time series, non-linear autoregressive model, embedding dimension, delay time, cross-validation

JOURNAL FREE ACCESS

2001 Volume 31 Issue 1 Pages 27-38

DOI https://doi.org/10.14490/jjss1995.31.27

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Abstract

This paper considers the chaotic time series with additive dynamic noise. Defining the embedding dimension and delay time, we discuss their mathematical properties. A method of estimating the embedding dimension and delay time is proposed, and the consistency of the estimators is proved.

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