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Chinese Physics, 2004, Vol. 13(5): 633-636    DOI: 10.1088/1009-1963/13/5/012
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Determining the minimum embedding dimension of nonlinear time series based on prediction method

Bian Chun-Hua (卞春华), Ning Xin-Bao (宁新宝)
State Key Laboratory of Modern Acoustics, Institute for Biomedical Electronic Engineering, Nanjing University, Nanjing 210093, China
Abstract  Determining the embedding dimension of nonlinear time series plays an important role in the reconstruction of nonlinear dynamics. The paper first summarizes the current methods for determining the embedding dimension. Then, inspired by the fact that the optimum modelling dimension of nonlinear autoregressive (NAR) prediction model can characterize the embedding feature of the dynamics, the paper presents a new idea that the optimum modelling dimension of the NAR model can be taken as the minimum embedding dimension. Some validation examples and results are given and the present method shows its advantage for short data series.
Keywords:  nonlinear time series      embedding dimension      NAR model      prediction  
Received:  12 August 2003      Revised:  24 September 2003      Accepted manuscript online: 
PACS:  05.45.Tp (Time series analysis)  
  05.45.Pq (Numerical simulations of chaotic systems)  

Cite this article: 

Bian Chun-Hua (卞春华), Ning Xin-Bao (宁新宝) Determining the minimum embedding dimension of nonlinear time series based on prediction method 2004 Chinese Physics 13 633

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