Statistical test for dynamical nonstationarity in observed time-series data
1997; American Physical Society; Volume: 56; Issue: 1 Linguagem: Inglês
10.1103/physreve.56.316
ISSN1538-4519
Autores Tópico(s)Nonlinear Dynamics and Pattern Formation
ResumoInformation 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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