Discriminating dynamical from additive noise in the Van der Pol oscillator

Details Discriminating dynamical from additive noise in the Van der Pol oscillator Discriminating dynamical from additive noise in the Van der Pol oscillator

2001-09-14

arxiv.org/abs/nlin/0109014v1

Physica D 171 (1-2), 8 (2002).

Nonlinear Sciences

Chaotic Dynamics

12 pages (Elsevier LaTeX class), 4 EPS figures, submitted to Physica D (4 july 2001)

Scientific paper

10.1016/S0167-2789(02)00548-1

We address the distinction between dynamical and additive noise in time series analysis by making a joint evaluation of both the statistical continuity of the series and the statistical differentiability of the reconstructed measure. Low levels of the latter and high levels of the former indicate the presence of dynamical noise only, while low values of the two are observed as soon as additive noise contaminates the signal. The method is presented through the example of the Van der Pol oscillator, but is expected to be of general validity for continuous-time systems.

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