MEASURING STATISTICAL DEPENDENCES IN A TIME-SERIES

被引：72

作者：

POMPE, B

机构：

[1] Fachbereich Physik, Ernst-Moritz-Arndt-Universität, Greifswaid

来源：

JOURNAL OF STATISTICAL PHYSICS | 1993年 / 73卷 / 3-4期

关键词：

ENTROPY; TIME SERIES ANALYSIS; MUTUAL INFORMATION; CONTINGENCY; CHAOTIC MAP; QUADRATIC MAP;

D O I：

10.1007/BF01054341

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

We propose two methods to measure all (linear and nonlinear) statistical dependences in a stationary time series. Presuming ergodicity, the measures can be obtained from efficient numerical algorithms.

引用

页码：587 / 610

页数：24

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