Detecting noise in a time series

DOI10.1063/1.166214MaRDI QIDQ4936396zbMATH OpenOpenAlexWikidataFDO

Authors C. J. Cellucci, A. M. Albano, Paul E. Rapp, R. A. Pittenger, R. C. Josiassen

Publication date 8 February 2000

Published in Chaos: An Interdisciplinary Journal of Nonlinear Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1063/1.166214

zbMATH Keywords

noisetime seriesnumerical algorithmphase-randomized surrogates

Mathematics Subject Classification ID

Strange attractors, chaotic dynamics of systems with hyperbolic behavior (37D45) Time series analysis of dynamical systems (37M10) Numerical chaos (65P20)

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Cites work

• A practical method for calculating largest Lyapunov exponents from small data sets
• Determining Lyapunov exponents from a time series
• Estimating dimension from small samples
• Fundamental limitations for estimating dimensions and Lyapunov exponents in dynamical systems
• Oscillation and chaos in physiological control systems
• Statistics, probability and chaos. With discussion and a rejoinder by the author
• Testing for nonlinearity in time series: the method of surrogate data

Cited in

(9)

• Estimating measurement noise in a time series by exploiting nonstationarity
• Influence of noise on the sample entropy algorithm
• Influence of noise on the averaged false neighbors method for analyzing time series
• Statistical physics in foreign exchange currency and stock markets
• Nonlinear dynamics of regenerative cutting processes. Comparison of two models
• Entropy measures for biological signal analyses
• Estimating the amplitude of measurement noise present in chaotic time series
• A linearization based non-iterative approach to measure the Gaussian noise level for chaotic time series
• Error covariance matrix estimation of noisy and dynamically coupled time series

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