Issue |
Europhys. Lett.
Volume 40, Number 1, October 1997
|
|
---|---|---|
Page(s) | 7 - 12 | |
Section | General | |
DOI | https://doi.org/10.1209/epl/i1997-00416-x | |
Published online | 01 September 2002 |
Determinism test and noise estimate for a complex time series
1
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
Received:
15
May
1997
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
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