TIME SERIES ANALYSIS IN RECONSTRUCTED STATE SPACES

DOI10.1142/S0219493701000060zbMath1039.62083OpenAlexW2160220509MaRDI QIDQ4460415

Holger Kantz

Publication date: 18 May 2004

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219493701000060

zbMATH Keywords

entropyembeddingfractal dimensiontime series analysisnonstationarity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Time series analysis of dynamical systems (37M10)

Cites Work

• Embedology
• Parametric, nonparametric and parametric modelling of a chaotic circuit time series
• Analysis of data sets of stochastic systems
• Reconstruction of nonlinear time delay models from data by the use of optimal transformations.
• Independent coordinates for strange attractors from mutual information
• Delay embedding in the presence of dynamical noise
• HOW MANY DELAY COORDINATES DO YOU NEED?
• NONLINEAR TIME SEQUENCE ANALYSIS
• A TEST FOR STATIONARITY: FINDING PARTS IN TIME SERIES APT FOR CORRELATION DIMENSION ESTIMATES
• Takens embedding theorems for forced and stochastic systems
• Ergodic theory of chaos and strange attractors
• Local optimal prediction: exploiting strangeness and the variation of sensitivity to initial condition

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