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A dynamical systems approach to time series analysis

  • Aug 5, 1993
  • Tom Mullin
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Abstract

Abstract The aim of this chapter is to show how the information extracted from a physical experiment or numerical computation may be analysed using modern signal processing techniques and indicate how the results can be related to ideas from finite-dimensional dynamical systems. The ultimate objective is to see whether a direct connection can be made between the information contained in the time series obtained from a continuous infinite-degree-of-freedom system and the well-developed field of chaos in ordinary differential equations and maps. Before we proceed with the description of the modern nonlinear techniques, we will first of all briefly discuss the traditional linear methods of signal processing. Next we will introduce the concepts of phase portrait reconstruction using the straight-forward ‘method of delays’. The principles are extended by a discussion of the singular value decomposition technique which provides a systematic way of selecting a coordinate system in which the attractor can be constructed and which also deals with the universal problem of noise in experimental observations. A brief discussion of the construction of Poincare maps is then presented as a useful technique for reducing the dimension of the reconstructed attractor. Finally, we discuss the merits and practical limitations of methods of obtaining quantitative estimates from these nonlinear signal processing techniques.

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