Measuring nonstationarity by analyzing the loss of recurrence in dynamical systems

Phys Rev Lett. 2002 Jun 17;88(24):244102. doi: 10.1103/PhysRevLett.88.244102. Epub 2002 May 31.

Abstract

We propose a measure for nonstationarity which is based on the analysis of distributions of temporal distances of neighboring vectors in state space. As an extension of previous techniques our method does not require a partitioning of the time series. Moreover, the deviation of mean recurrence times from frequency distributions that would be expected under stationary conditions allows us to estimate the statistical significance of the method.