Statistical tests for deterministic effects in broad band time series
dc.contributor.author | Wu, Kesheng | en_US |
dc.contributor.author | Savit, Robert S. | en_US |
dc.contributor.author | Brock, William | en_US |
dc.date.accessioned | 2006-04-10T15:30:31Z | |
dc.date.available | 2006-04-10T15:30:31Z | |
dc.date.issued | 1993-11-15 | en_US |
dc.identifier.citation | Wu, Kesheng, Savit, Robert, Brock, William (1993/11/15)."Statistical tests for deterministic effects in broad band time series." Physica D: Nonlinear Phenomena 69(1-2): 172-188. <http://hdl.handle.net/2027.42/30448> | en_US |
dc.identifier.uri | http://www.sciencedirect.com/science/article/B6TVK-46FYTV4-3N/2/87ddb96b3ab080f4eb3ad262227edd5f | en_US |
dc.identifier.uri | https://hdl.handle.net/2027.42/30448 | |
dc.description.abstract | We derive a normalized version of the indicators of Savit and Green, and prove that these normalized statistics have, asymptotically, a normal distribution with a mean of zero and standard deviation of one if the time series is random in the sense of being IID (independent and identically distributed). We verify this result numerically, and study the magnitude of the finite size effects. We also show that these statistics are very sensitive to the existence of deterministic effects in the series, even if the underlying deterministic structure is complex, such as those generated by a chaotic system. We show that with moderate amounts of data, the statistics can easily indicate the presence of an underlying attractor even in the presence of IID noise which is as large as, or greater than the signal. Finally, we discuss the generalization of our approach to include (1) other null hypotheses besides IID which express assumptions of specific dependencies and (2) the study of deterministic effects between more than one time series. | en_US |
dc.format.extent | 1213331 bytes | |
dc.format.extent | 3118 bytes | |
dc.format.mimetype | application/pdf | |
dc.format.mimetype | text/plain | |
dc.language.iso | en_US | |
dc.publisher | Elsevier | en_US |
dc.title | Statistical tests for deterministic effects in broad band time series | en_US |
dc.type | Article | en_US |
dc.rights.robots | IndexNoFollow | en_US |
dc.subject.hlbsecondlevel | Physics | en_US |
dc.subject.hlbsecondlevel | Mathematics | en_US |
dc.subject.hlbtoplevel | Science | en_US |
dc.description.peerreviewed | Peer Reviewed | en_US |
dc.contributor.affiliationum | Physics Department, University of Michigan, Ann Arbor, MI 48109, USA | en_US |
dc.contributor.affiliationum | Physics Department, University of Michigan, Ann Arbor, MI 48109, USA | en_US |
dc.contributor.affiliationother | Department of Economics, 1180 Observatory Dr., University of Wisconsin, Madison, WI 53706, USA | en_US |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/30448/1/0000072.pdf | en_US |
dc.identifier.doi | http://dx.doi.org/10.1016/0167-2789(93)90188-7 | en_US |
dc.identifier.source | Physica D: Nonlinear Phenomena | en_US |
dc.owningcollname | Interdisciplinary and Peer-Reviewed |
Files in this item
Remediation of Harmful Language
The University of Michigan Library aims to describe library materials in a way that respects the people and communities who create, use, and are represented in our collections. Report harmful or offensive language in catalog records, finding aids, or elsewhere in our collections anonymously through our metadata feedback form. More information at Remediation of Harmful Language.
Accessibility
If you are unable to use this file in its current format, please select the Contact Us link and we can modify it to make it more accessible to you.