Delay Estimation from noisy time series

Details Delay Estimation from noisy time series Delay Estimation from noisy time series

1997-01-27

arxiv.org/abs/cond-mat/9701193v1

Physics

Condensed Matter

Statistical Mechanics

Tentatively scheduled to appear as a Rapid Communication in Phys. Rev. E., March 1997

Scientific paper

10.1103/PhysRevE.55.R2077

We propose here a method to estimate a delay from a time series taking
advantage of analysis of random walks with delay. This method is applicable to
a time series coming out of a system which is or can be approximated as a
linear feedback system with delay and noise. We successfully test the method
with a time series generated by discrete Langevin equation with delay.

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