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Error covariance matrix estimation of noisy and dynamically coupled time series.

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Mera Rivas, Maria Eugenia and Morán Cabré, Manuel (2013) Error covariance matrix estimation of noisy and dynamically coupled time series. Journal of Statistical Physiscs, 150 (2). pp. 375-397. ISSN 0022-4715

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Official URL: https://doi.org/10.1007/s10955-012-0683-7



Abstract

We estimate the covariance matrix of the errors in several dynamically coupled time series corrupted by measurement errors. We say that several scalar time series are dynamically coupled if they record the values of measurements of the state variables of the same smooth dynamical system. The estimation of the covariance matrix of the errors is made using a noise reduction algorithm that efficiently exploits the information contained jointly in the dynamically coupled noisy time series. The method is particularly powerful for short length time series with high uncertainties.


Item Type:Article
Uncontrolled Keywords:Measurement error models; Noise reduction; Error covariance matrix estimation; Dynamical coupling; Local projection methods.
Subjects:Sciences > Mathematics
ID Code:58889
Deposited On:17 Feb 2020 13:01
Last Modified:17 Feb 2020 14:55

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