Reconstruction principle for multivariate time series and its application
Fan Chong-jun · Journal of the University of Shanghai for Science and Technology · 2009
The reconstruction principle and Takens embedding theorem were generalized to multivariate time series.The estimator of correlation dimension based on multivariate time series was constructed.As its application example,an inference method was designed for testing nonlinear dependence between time series,which can be used in economic forecasting.Numerical results show the effectiveness of the method proposed.