The correlation dimension of differenced data
comp-gas
2009-10-22 v1 Cellular Automata and Lattice Gases
Abstract
The effect differencing has on the estimated correlation dimension of a nongaussian time series is discussed. Two different methods for generating surrogate data sets are compared. The results suggest that any filtering should be applied to both the raw and surrogate time series, otherwise spurious results can occur.
Cite
@article{arxiv.comp-gas/9405005,
title = {The correlation dimension of differenced data},
author = {Dean Prichard},
journal= {arXiv preprint arXiv:comp-gas/9405005},
year = {2009}
}
Comments
8 pages uuencoded compressed postscript file (using uufiles script)