Time series analysis for system identification and diagnostics (Q2638980)

The reasoning is based on the heuristic argument that a very small set of observations obtained from a natural dynamic system contains sufficient information about the underlying mathematical dynamic system, even though the observations are of finite precision and contain noise. The authors use time series, filter them for noise in order to `ascertain' the presence of self-generated oscillations, and then estimate some numerical characteristics of the corresponding attractor (mainly its dimension and Lyapunov exponent). Two types of statistical analyses are compared with respect to additive and non-additive noise.