NOISE LEVEL ESTIMATION FOR A CHAOTIC TIME SERIES

被引：1

作者：

Xu, Pengcheng ^{[1
]}

Li, W. K. ^{[2
]}

Jayawardena, A. W. ^{[3
]}

机构：

[1] Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China

[2] Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China

[3] Publ Works Res Inst, Int Ctr Water Hazard & Risk Management Auspices, UNESCO, Tsukuba, Ibaraki, Japan

来源：

INTERNATIONAL JOURNAL OF BIFURCATION AND CHAOS | 2012年 / 22卷 / 03期

基金：

中国国家自然科学基金;

关键词：

Chaotic time series; noise level; correlation integral; PREDICTION; DIMENSION; ALGORITHM;

D O I：

10.1142/S0218127412500526

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

In this study, the correlation sum and the correlation integral for chaotic time series using the Supremum norm and the Euclidean norm are discussed. The correlation integrals are then used to develop governing equations for the correlation sum, noise level and correlation dimension in which the correlation dimension and the noise level are linearly dependent on each other. Some linear estimation methods for the noise level are then introduced by using these equations. The estimation methods are applied to four chaotic time series (two artificial and two real-world). By comparing the performances of the estimations of the noise level, the best estimating method is then suggested.

引用

页数：18

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