ESTIMATING THE EMBEDDING DIMENSION AND DELAY TIME FROM CHAOTIC TIME SERIES WITH DYNAMIC NOISE
Kaoru Fueda, Takashi Yanagawa · JOURNAL OF THE JAPAN STATISTICAL SOCIETY · 2001
This paper considers the chaotic time series with additive dynamic noise. Defining the embedding dimension and delay time, we discuss their mathematical properties. A method of estimating the embedding dimension and delay time is proposed, and the consistency of the estimators is proved.