Mathematics – Logic
Scientific paper
Oct 2009
adsabs.harvard.edu/cgi-bin/nph-data_query?bibcode=2009phrve..80d6207m&link_type=abstract
Physical Review E, vol. 80, Issue 4, id. 046207
Mathematics
Logic
2
Time Series Analysis, Noise, Networks And Genealogical Trees, Time Series Analysis, Time Variability
Scientific paper
An alternative approach to determining embedding dimension when reconstructing dynamic systems from a noisy time series is proposed. The available techniques of determining embedding dimension (the false nearest-neighbor method, calculation of the correlation integral, and others) are known [H. D. I. Abarbanel, Analysis of Observed Chaotic Data (Springer-Verlag, New York, 1997)] to be inefficient, even at a low noise level. The proposed approach is based on constructing a global model in the form of an artificial neural network. The required amount of neurons and the embedding dimension are chosen so that the description length should be minimal. The considered approach is shown to be appreciably less sensitive to the level and origin of noise, which makes it also a useful tool for determining embedding dimension when constructing stochastic models.
Feigin A. M.
Fidelin G. A.
Loskutov E. M.
Molkov Ya. I.
Mukhin D. N.
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