中国物理B ›› 2007, Vol. 16 ›› Issue (5): 1252-1257.doi: 10.1088/1009-1963/16/5/014
薛佩军1, 孟庆芳2, 彭玉华2
Meng Qing-Fang(孟庆芳)a)†, Peng Yu-Hua(彭玉华)a), and Xue Pei-Jun(薛佩军)b)
摘要: A new method is proposed to determine the optimal embedding dimension from a scalar time series in this paper. This method determines the optimal embedding dimension by optimizing the nonlinear autoregressive prediction model parameterized by the embedding dimension and the nonlinear degree. Simulation results show the effectiveness of this method. And this method is applicable to a short time series, stable to noise, computationally efficient, and without any purposely introduced parameters.
中图分类号: (Time series analysis)