摘要
A new method is proposed to determine the optimal embedding dimension from a scalar time series in this paper. This method determines the optimal embedding dimension by optimizing the nonlinear autoregressive prediction model parameterized by the embedding dimension and the nonlinear degree. Simulation results show the effectiveness of this method. And this method is applicable to a short time series, stable to noise, computationally efficient, and without any purposely introduced parameters.
A new method is proposed to determine the optimal embedding dimension from a scalar time series in this paper. This method determines the optimal embedding dimension by optimizing the nonlinear autoregressive prediction model parameterized by the embedding dimension and the nonlinear degree. Simulation results show the effectiveness of this method. And this method is applicable to a short time series, stable to noise, computationally efficient, and without any purposely introduced parameters.
基金
Project supported by the Scientific Research Foundation for the Returned 0verseas Chinese Scholars of China （Grant No 2004.176.4） and the Natural Science Foundation of Shandong Province of China （Grant No Z2004G01）.
