Error covariance matrix estimation of noisy and dynamically coupled time series
From MaRDI portal
Publication:1942295
DOI10.1007/s10955-012-0683-7zbMath1300.37049MaRDI QIDQ1942295
Manuel Morán, Maria Eugenia Mera
Publication date: 18 March 2013
Published in: Journal of Statistical Physics (Search for Journal in Brave)
Full work available at URL: https://eprints.ucm.es/58889/1/mera-moran%2806-junio-2012%29jsp.pdf
noise reduction; measurement error models; dynamical coupling; error covariance matrix estimation; local projection methods
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
37M10: Time series analysis of dynamical systems
Uses Software
Cites Work
- A note on the Gamma test analysis of noisy input/output data and noisy time series
- Noise reduction: Finding the simplest dynamical system consistent with the data
- A noise reduction method for signals from nonlinear systems
- Embedology
- Noise reduction schemes for chaotic time series
- Estimating measurement noise in a time series by exploiting nonstationarity
- Generalized phase space projection for nonlinear noise reduction
- Practical implementation of nonlinear time series methods: The <scp>TISEAN</scp> package
- Estimating the amplitude of measurement noise present in chaotic time series
- PREDICTION AND VOLATILITY OF BLACK MARKET CURRENCIES: EVIDENCE FROM RENMINBI AND RIAL EXCHANGE RATES
- Geometric noise reduction for multivariate time series
- Measurement Error
- RED NOISE ESTIMATION
- Nonlinear Time Series Analysis
- Correction of the Correlation Dimension for Noisy Time Series
- On noise reduction methods for chaotic data
- Large Noise Level Estimation
- Nonlinear Time Series Analysis
- Detecting noise in a time series
- A method of estimating the noise level in a chaotic time series
- Noise reduction by recycling dynamically coupled time series
- NOISE ESTIMATION BY USE OF NEIGHBORING DISTANCES IN TAKENS SPACE AND ITS APPLICATIONS TO STOCK MARKET DATA
- Measurement Error in Nonlinear Models
- Efficient noncausal noise reduction for deterministic time series
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item