COMPARATIVE ANALYSIS OF THE COMPLEXITY OF CHAOTIC AND STOCHASTIC TIME SERIES
DOI:
https://doi.org/10.15588/1607-3274-2014-2-18Keywords:
time series, measures of complexity, approximate entropy, recurrence plot, pseudo-phase space, embedding dimension.Abstract
The new approach to the recognition mechanism of the time series generating process based on the results of the entropy and the recurrent analysis is proposed. The comparative analysis of the realizations properties of chaotic and stochastic processes with different correlation structure was carried out. It is shown that the derived set of information characteristics allows to distinguish the realizations of deterministic chaotic and fractal random processes. Depending on complexity measures of time series of process parameters were obtained. The information characteristics dependencies from the process parameters were obtained. The results of bioelectric signals and financial time series study are presented.
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Copyright (c) 2015 L. O. Kirichenko, Yu. A. Kobitskaya, A. Yu. Habacheva
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