A note on the Gamma test analysis of noisy input/output data and noisy time series

DOI10.1016/j.physd.2006.12.013zbMath1117.37036OpenAlexW2145003944MaRDI QIDQ885903

Dafydd Evans, S. E. Kemp, Antonia J. Jones

Publication date: 14 June 2007

Published in: Physica D (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physd.2006.12.013

zbMATH Keywords

time seriesnonlinear analysisnoise estimationprocess identificationgamma test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Time series analysis of dynamical systems (37M10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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Cites Work

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• State space reconstruction in the presence of noise
• New tools in nonlinear modelling and prediction
• A proof of the Gamma test
• Nonlinear Time Series Analysis