- Title
- Nonlinear dynamical analysis of noisy time series
- Creator
- Heathcote, A.; Elliot, David
- Relation
- Nonlinear Dynamics, Psychology, and Life Sciences Vol. 9, Issue 4, p. 399-433
- Relation
- http://www.societyforchaostheory.org/ndpls
- Publisher
- Society for Chaos Theory in Psychology & Life Sciences
- Resource Type
- journal article
- Date
- 2005
- Description
- Empirical time series in the life sciences are often nonstationary and have small signal-to-noise ratios, making it difficult to accurately detect and characterize dynamical structure. The usual response to high noise is averaging, but time domain averaging is inappropriate, especially when the dynamics are nonlinear. We review alternative delay-space averaging methods based on the topology and short-term predictability of nonlinear dynamics and illustrate their application using the TISEAN software (Hegger, Kantz & Schreiber, 1999). The methods were applied to a Lorenz series, which resembles the dynamics found by Kelly, Heathcote, Heath and Longstaff (2001) in series of decision times. The Lorenz series was corrupted with up to 80% additive Gaussian noise, a lower signal-to-noise ratio than has been used in any previous test of these methods, but consistent with Kelly et al.'s data. Prediction methods performed the best for detecting nonstationarity and nonlinear dynamics, and optimal predictability provided an objective criterion for setting the parameters required by the analyses. Local linear filtering methods performed best for characterization, producing informative plots that revealed the nature of the underlying dynamics. These results suggest that a methodology based on delay-space averaging and prediction could be useful with noisy empirical data series.
- Subject
- nonlinear dynamics; fractal dimension; prediction; time series; measurement noise
- Identifier
- uon:2005
- Identifier
- http://hdl.handle.net/1959.13/27876
- Identifier
- ISSN:1090-0578
- Language
- eng
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