COARSE-GRAINED EMBEDDINGS OF TIME-SERIES - RANDOM-WALKS, GAUSSIAN RANDOM-PROCESSES, AND DETERMINISTIC CHAOS

被引：104

作者：

KAPLAN, DT

GLASS, L

机构：

[1] Department of Physiology, McGill University, Montreal, Que. H3G 1Y6

来源：

PHYSICA D | 1993年 / 64卷 / 04期

基金：

加拿大自然科学与工程研究理事会;

关键词：

D O I：

10.1016/0167-2789(93)90054-5

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

A new method for studying time series is described based on a statistic indicating the degree to which trajectories passing through a small region of an embedding space are parallel. The method is particularly suited to time series with a significant correlation time. Analytic results are presented for Brownian motion and Gaussian random processes. These are generally different from the results for chaotic systems, allowing a test for deterministic dynamics in a time series. A variety of examples are presented of the application of the method to low- and high-dimensional systems.

引用

页码：431 / 454

页数：24

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