A NOISE-REDUCTION METHOD FOR MULTIVARIATE TIME-SERIES

被引：13

作者：

HEGGER, R

SCHREIBER, T

机构：

[1] Physics Department, University of Wuppertal, W-5600 Wuppertal

来源：

PHYSICS LETTERS A | 1992年 / 170卷 / 04期

关键词：

D O I：

10.1016/0375-9601(92)90259-O

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

We generalize a noise reduction algorithm recently proposed by Grassberger and Schreiber to the case of multivariate time series. The corrections are given by a locally linear approximation using information from the past as well as from the future. The method is applied to the Ikeda map and the Lorenz system. If multivariate data is available the method is superior to scalar methods applied to the single coordinates, in particular with respect to the dynamical error.

引用

收藏

页码：305 / 310

页数：6

相关论文

共 17 条

[1] STATE-SPACE RECONSTRUCTION IN THE PRESENCE OF NOISE [J].

CASDAGLI, M ;

EUBANK, S ;

FARMER, JD ;

GIBSON, J .

PHYSICA D-NONLINEAR PHENOMENA, 1991, 51 (1-3) :52-98

[2] SNR PERFORMANCE OF A NOISE-REDUCTION ALGORITHM APPLIED TO COARSELY SAMPLED CHAOTIC DATA [J].

CAWLEY, R ;

HSU, GH .

PHYSICS LETTERS A, 1992, 166 (3-4) :188-196

[3]

CAWLEY R, 1991, LOCAL GEOMETRIC PROJ

[4] Optimal shadowing and noise reduction [J].

Farmer, J.D. ;

Sidorowich, J.J. .

Physica D: Nonlinear Phenomena, 1991, 47 (03) :373-392

[5]

GRASSBERGER P, 1992, UNPUB NOISE REDUCTIO

[6] NONLINEAR TIME SEQUENCE ANALYSIS [J].

Grassberger, Peter ;

Schreiber, Thomas ;

Schaffrath, Carsten .

INTERNATIONAL JOURNAL OF BIFURCATION AND CHAOS, 1991, 1 (03) :521-547

[7] SHADOWING OF PHYSICAL TRAJECTORIES IN CHAOTIC DYNAMICS - CONTAINMENT AND REFINEMENT [J].

GREBOGI, C ;

HAMMEL, SM ;

YORKE, JA ;

SAUER, T .

PHYSICAL REVIEW LETTERS, 1990, 65 (13) :1527-1530

[8]

IKEDA K, 1979, OPT COMMUN, V30, P30

[9] NOISE-REDUCTION IN DYNAMICAL-SYSTEMS [J].

KOSTELICH, EJ ;

YORKE, JA .

PHYSICAL REVIEW A, 1988, 38 (03) :1649-1652

[10]

LORENZ EN, 1963, J ATMOS SCI, V20, P130, DOI 10.1175/1520-0469(1963)020<0130:DNF>2.0.CO