Detecting determinism in short time series using a quantified averaged false nearest neighbors approach.

@article{Ramdani2007DetectingDI,
  title={Detecting determinism in short time series using a quantified averaged false nearest neighbors approach.},
  author={Sofiane Ramdani and Fr{\'e}d{\'e}ric Bouchara and Jean-François Casties},
  journal={Physical review. E, Statistical, nonlinear, and soft matter physics},
  year={2007},
  volume={76 3 Pt 2},
  pages={036204}
}
We propose a criterion to detect determinism in short time series. This criterion is based on the estimation of the parameter E2 defined by the averaged false neighbors method for analyzing time series [Cao, Physica D 110, 43 (1997)]. Using surrogate data testing with several chaotic and stochastic simulated time series, we show that the variation coefficient of E2 over a few values of the embedding dimension d defines a suitable statistic to detect determinism in short data sequences. This… CONTINUE READING

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