Discrimination power of measures for nonlinearity in a time series

Thomas Schreiber and Andreas Schmitz
Phys. Rev. E 55, 5443 – Published 1 May 1997
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Abstract

The performance of a number of different measures of nonlinearity in a time series is compared numerically. Their power to distinguish noisy chaotic data from linear stochastic surrogates is determined by Monte Carlo simulation for a number of typical data problems. The main result is that the ratings of the different measures vary from example to example. It therefore seems preferable to use an algorithm with good overall performance, that is, higher order autocorrelations or nonlinear prediction errors.

  • Received 22 January 1997

DOI:https://doi.org/10.1103/PhysRevE.55.5443

©1997 American Physical Society

Authors & Affiliations

Thomas Schreiber and Andreas Schmitz

  • Physics Department, University of Wuppertal, D-42097 Wuppertal, Germany

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Issue

Vol. 55, Iss. 5 — May 1997

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