Statistical Test for Dynamical Nonstationarity in Observed Time-Series Data

Details Statistical Test for Dynamical Nonstationarity in Observed Time-Series Data Statistical Test for Dynamical Nonstationarity in Observed Time-Series Data

1995-12-21

arxiv.org/abs/chao-dyn/9512005v1

Nonlinear Sciences

Chaotic Dynamics

REVTEX, 4 encapsulated postscript figures, in uuencoded, gzipped tar archive; email: kennel@msr.epm.ornl.gov

Scientific paper

Information in the time distribution of points in a state space reconstructed from observed data yields a test for ``nonstationarity''. Framed in terms of a statistical hypothesis test, this numerical algorithm can discern whether some underlying slow changes in parameters have taken place. The method examines a fundamental object in nonlinear dynamics, the geometry of orbits in state space, with corrections to overcome difficulties in real dynamical data which cause naive statistics to fail.

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