Applied Nonlinear Time Series Analysis: Applications in Physics, Physiology and Finance
- ISBN-10
- 981448122X
- ISBN-13
- 9789814481229
- Category
- Science
- Pages
- 260
- Language
- English
- Published
- 2005-03-28
- Publisher
- World Scientific
- Author
- Michael Small
Description
Nonlinear time series methods have developed rapidly over a quarter of a century and have reached an advanced state of maturity during the last decade. Implementations of these methods for experimental data are now widely accepted and fairly routine; however, genuinely useful applications remain rare. This book focuses on the practice of applying these methods to solve real problems. To illustrate the usefulness of these methods, a wide variety of physical and physiological systems are considered. The technical tools utilized in this book fall into three distinct, but interconnected areas: quantitative measures of nonlinear dynamics, Monte-Carlo statistical hypothesis testing, and nonlinear modeling. Ten highly detailed applications serve as case studies of fruitful applications and illustrate the mathematical techniques described in the text. Contents:Times Series Embedding and ReconstructionDynamics Measures and Topological InvariantsEstimation of Correlation DimensionThe Method of Surrogate DataNon-Standard and Nonlinear SurrogatesIdentifying the DynamicsApplications Readership: Postgraduate students, researchers, academics and practitioners in nonlinear physics and in various other areas of potential application (e.g. engineering, biology and medicine). Keywords:Deterministic Nonlinear Dynamics;Nonlinear Time Series Analysis;Chaos;Dynamical Systems;Computational Modeling;Simulation and Prediction;Correlation Dimension;Surrogate Time Series MethodsKey Features:Despite standard nonlinear modeling methods (neural networks, radial basis functions and so on) being the subject of numerous excellent texts, this book focuses on finding the best model and how to determine when a given model is “good enough”Several new, state-of-the-art methods to circumvent the problems of standard methods are described and demonstrated to have useful applicationsSurrogate data methods are extended beyond the linear domain to provide useful tests of several classes of nonlinear systems
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Other editions
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- 2005
- 262 pages
- Paperback
- World Scientific
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