English

Some comments on the correlation dimension of $1/f^\alpha$ noise

comp-gas 2008-02-03 v1 Cellular Automata and Lattice Gases

Abstract

It has recently been observed that a stochastic (infinite degree of freedom) time series with a 1/fα1/f^\alpha power spectrum can exhibit a finite correlation dimension, even for arbitrarily large data sets. [A.R. Osborne and A.~Provenzale, {\sl Physica D} {\bf 35}, 357 (1989).] I will discuss the relevance of this observation to the practical estimation of dimension from a time series, and in particular I will argue that a good dimension algorithm need not be trapped by this anomalous fractal scaling. Further, I will analytically treat the case of gaussian \onefas noise, with explicit high and low frequency cutoffs, and derive the scaling of the correlation integral C(N,r)C(N,r) in various regimes of the (N,r)(N,r) plane. Appears in: {\sl Phys. Lett. A} {\bf 155} (1991) 480--493.

Keywords

Cite

@article{arxiv.comp-gas/9302001,
  title  = {Some comments on the correlation dimension of $1/f^\alpha$ noise},
  author = {James Theiler},
  journal= {arXiv preprint arXiv:comp-gas/9302001},
  year   = {2008}
}

Comments

CYCLER Paper 93feb005 Several PostScript files, compress'ed tar'ed uuencode'ed