Determinism test and noise estimate for a complex time series
Nonlinear Science Group, Department of Physics,
National Cheng Kung University Tainan, Taiwan 70101, Republic of China
2 Department of Physics, National Sun Yat-Sen University Kaohsiung, Taiwan 80424, Republic of China
Accepted: 25 August 1997
We address the issue of recognizing determinism in a time series. Specifically, we employ the method of singular-value decomposition (SVD) to derive the eigenvalue spectra of the trajectory matrices constructed from a number of scalar time series, mainly white noise and chaotic signals, where a very large embedding dimension is used. The results suggest that the SVD eigenvalue spectrum can be employed as a measure of determinism and an estimate for the strength of a noise contained in the time series can be deduced.
PACS: 05.45.+b – Theory and models of chaotic systems
© EDP Sciences, 1997