Correlation integral for stationary gaussian time series

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dc.catalogadorjlo
dc.contributor.authorAcosta Salazar, Jonathan Daniel
dc.contributor.authorVallejos, Ronny O.
dc.contributor.authorGómez, John
dc.date.accessioned2023-08-07T12:55:15Z
dc.date.available2023-08-07T12:55:15Z
dc.date.issued2023
dc.description.abstractThe correlation integral of a time series is a normalized coefficient that represents the number of close pairs of points of the series lying in phase space. It has been widely studied in a number of disciplines such as phisycs, mechanical engineering, bioengineering, among others, allowing the estimation of the dimension of an attractor in a chaotic regimen. The computation of the dimension of an attractor allows to distinguish deterministic behavior in stochastic processes with a weak structure on the noise. In this paper, we establish a power law for the limiting expected value of the correlation integral for Gaussian stationary time series. Examples with linear and nonlinear time series are used to illustrate the result.
dc.fechaingreso.objetodigital2023-08-07
dc.fuente.origenORCID
dc.identifier.doi10.1007/s13171-023-00318-6
dc.identifier.urihttp://dx.doi.org/10.1007/s13171-023-00318-6
dc.identifier.urihttps://repositorio.uc.cl/handle/11534/74359
dc.information.autorucFacultad de Matemáticas; Acosta Salazar, Jonathan Daniel; S/I; 1182854
dc.language.isoen
dc.nota.accesoContenido parcial
dc.revistaSankhya A
dc.rightsacceso restringido
dc.subjectCorrelation integral
dc.subjectStationary time series
dc.subjectGaussian process
dc.subjectPower law
dc.subjectNonlinear time series
dc.subject.ddc510
dc.subject.deweyMatemática física y químicaes_ES
dc.titleCorrelation integral for stationary gaussian time series
dc.typeartículo
sipa.trazabilidadORCID;2023-07-31
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