State space reconstruction in the presence of noise

DOI10.1016/0167-2789(91)90222-UzbMath0736.62075OpenAlexW2158038039WikidataQ56689090 ScholiaQ56689090MaRDI QIDQ1181154

J. Doyne Farmer, John Gibson, Martin Casdagli, Stephen Eubank

Publication date: 27 June 1992

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

Full work available at URL: https://doi.org/10.1016/0167-2789(91)90222-u

zbMATH Keywords

time seriesLyapunov exponentsstate space reconstructionestimation errorobservational noisenoise amplificationTakens' theoremasymptotic scaling lawsdistortion matrixlow noise limitroot-mean-square time series prediction errors

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic systems and control (93E99) Estimation and detection in stochastic control theory (93E10) Inference from stochastic processes (62M99)

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