Universidad Complutense de Madrid
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Geometric noise reduction for multivariate time series

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Mera Rivas, Maria Eugenia and Morán Cabré, Manuel (2006) Geometric noise reduction for multivariate time series. Chaos, 16 (013116). ISSN 1054-1500

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Official URL: https://doi.org/10.1063/1.2151159



Abstract

We propose an algorithm for the reduction of observational noise in chaotic multivariate time series. The algorithm is based on a maximum likelihood criterion, and its goal is to reduce the mean distance of the points of the cleaned time series to the attractor. We give evidence of the convergence of the empirical measure associated with the cleaned time series to the underlying invariant measure, implying the possibility to predict the long run behavior of the true dynamics.


Item Type:Article
Uncontrolled Keywords:Noise reduction; Multivariate time series; Chaotic dynamics.
Subjects:Sciences > Mathematics
ID Code:58886
Deposited On:17 Feb 2020 12:38
Last Modified:17 Feb 2020 12:38

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