INFORMATION THEORETIC TEST FOR NONLINEARITY IN TIME-SERIES

被引：78
|
作者：
PALUS, M [1 ]
ALBRECHT, V [1 ]
DVORAK, I [1 ]
机构：
[1] CHARLES UNIV, SCH MED 3,PRAGUE PSYCHIAT CTR, APPL MATH & BIOENGN LAB,USTAVNI 91, CS-18103 PRAGUE 8, CZECHOSLOVAKIA
来源：
PHYSICS LETTERS A | 1993年 / 175卷 / 3-4期
关键词：
D O I：
10.1016/0375-9601(93)90827-M
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
A diagnostic test for identifying nonlinear dynamical relationships in time series, based on mutual information and redundancy, functionals introduced in information theory, is proposed. Its ability to distinguish (noised) multiperiodic and random time series from time series generated by chaotic dynamical systems is demonstrated. The latter are characterized by specific behaviour of marginal redundancies reflecting the increase of uncertainty in time due to positive information production rate.
引用
收藏
页码：203 / 209
页数：7
相关论文
共 50 条
12345