The delay vector variance method for detecting determinism and nonlinearity in time series

DOI10.1016/J.PHYSD.2003.11.001zbMath1069.37064OpenAlexW2122348941MaRDI QIDQ1432914

Danilo P. Mandic, Temujin Gautama, Marc M. Van Hulle

Publication date: 22 June 2004

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

Full work available at URL: https://doi.org/10.1016/j.physd.2003.11.001

zbMATH Keywords

Signal processingStatistical testingDeterminismStochastic modelNonlinearity analysisPredictability of a signalScatter diagramSurrogate data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Time series analysis of dynamical systems (37M10) Analysis of variance and covariance (ANOVA) (62J10)

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Cites Work

• Exceptional events as evidence for determinism
• Practical method for determining the minimum embedding dimension of a scalar time series
• Surrogate time series.

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