Dimension from covariance matrices.

Abstract

We describe a method to estimate embedding dimension from a time series. This method includes an estimate of the probability that the dimension estimate is valid. Such validity estimates are not common in algorithms for calculating the properties of dynamical systems. The algorithm described here compares the eigenvalues of covariance matrices created from… (More)
DOI: 10.1063/1.4975063

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Cite this paper

@article{Carroll2017DimensionFC, title={Dimension from covariance matrices.}, author={Thomas L. Carroll and Julie M Byers}, journal={Chaos}, year={2017}, volume={27 2}, pages={023101} }