Generalized redundancies for time series analysis

Details Generalized redundancies for time series analysis Generalized redundancies for time series analysis

1994-05-27

arxiv.org/abs/comp-gas/9405006v1

Nonlinear Sciences

Cellular Automata and Lattice Gases

19 pages uuencoded compressed postscript file (using uufiles script)

Scientific paper

Extensions to various information theoretic quantities used for nonlinear time series analysis are discussed, as well as their relationship to the generalized correlation integral. It is shown that calculating redundancies from the correlation integral can be more accurate and more efficient than direct box counting methods. It is also demonstrated that many commonly used nonlinear statistics have information theory based analogues. Furthermore, the relationship between the correlation integral and information theoretic statistics allows us to define ``local'' versions of many information theory based statistics; including a local version of the Kolmogorov-Sinai entropy, which gives an estimate of the local predictability.

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