Statistical Test for Dynamical Nonstationarity in Observed Time-Series Data

Matthew B. Kennel

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arXiv · chao-dyn/9512005

Statistical Test for Dynamical Nonstationarity in Observed Time-Series Data

Matthew B. Kennel

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Abstract

Information in the time distribution of points in a state space reconstructed from observed data yields a test for ``nonstationarity''. Framed in terms of a statistical hypothesis test, this numerical algorithm can discern whether some underlying slow changes in parameters have taken place. The method examines a fundamental object in nonlinear dynamics, the geometry of orbits in state space, with corrections to overcome difficulties in real dynamical data which cause naive statistics to fail.

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Matthew B. Kennel. 1995-12-21. Statistical Test for Dynamical Nonstationarity in Observed Time-Series Data. https://arxiv.org/abs/chao-dyn/9512005

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