Noise in unspecified, nonlinear time series

DOI10.1016/S0304-4076(96)00010-3zbMATH Open0900.62650MaRDI QIDQ1362498FDOQ1362498

Authors George Szpiro 

Publication date 12 August 1997

Published in Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

noisetime serieschaoscorrelation integral

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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• NOISE ESTIMATION BY USE OF NEIGHBORING DISTANCES IN TAKENS SPACE AND ITS APPLICATIONS TO STOCK MARKET DATA
• RED NOISE ESTIMATION
• Large Noise Level Estimation
• A method of estimating the noise level in a chaotic time series
• A nonlinear time series workshop. A toolkit for detecting and identifying nonlinear serial dependence

Cites Work

• scientific article; zbMATH DE number 3082713 (Why is no real title available?)
• Distinguishing random and deterministic systems: Abridged version
• Fundamental limitations for estimating dimensions and Lyapunov exponents in dynamical systems
• Measuring dynamical noise in dynamical systems
• Noise in autoregressive time-series
• Nonlinear Dynamic Structures
• The self-intersections of a smooth \(n\)-manifold in \(2n\)-space

Cited In (8)

• RED NOISE ESTIMATION
• Estimating measurement noise in a time series by exploiting nonstationarity
• Title not available (Why is no real title available?)
• Influence of noise on the averaged false neighbors method for analyzing time series
• NOISE ESTIMATION BY USE OF NEIGHBORING DISTANCES IN TAKENS SPACE AND ITS APPLICATIONS TO STOCK MARKET DATA
• Singular spectrum analysis based on the perturbation theory
• A linearization based non-iterative approach to measure the Gaussian noise level for chaotic time series
• Detecting noise in a time series

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