Using the minimum description length principle for global reconstruction of dynamic systems from noisy time series

Phys Rev E Stat Nonlin Soft Matter Phys. 2009 Oct;80(4 Pt 2):046207. doi: 10.1103/PhysRevE.80.046207. Epub 2009 Oct 15.

Abstract

An alternative approach to determining embedding dimension when reconstructing dynamic systems from a noisy time series is proposed. The available techniques of determining embedding dimension (the false nearest-neighbor method, calculation of the correlation integral, and others) are known [H. D. I. Abarbanel, (Springer-Verlag, New York, 1997)] to be inefficient, even at a low noise level. The proposed approach is based on constructing a global model in the form of an artificial neural network. The required amount of neurons and the embedding dimension are chosen so that the description length should be minimal. The considered approach is shown to be appreciably less sensitive to the level and origin of noise, which makes it also a useful tool for determining embedding dimension when constructing stochastic models.

Publication types

  • Research Support, Non-U.S. Gov't

MeSH terms

  • Algorithms*
  • Computer Simulation
  • Models, Statistical*
  • Nonlinear Dynamics*
  • Time Factors