A new method of determining the optimal embedding dimension based on nonlinear prediction

• 来源期刊: 中国物理（英文版）
• 关键词: embedding dimension nonlinear autoregressive prediction model nonlinear time series
• 年，卷（期）: 2007,（5）
• 页码范围: 1252-1257
• 页数: 6页
• 语种: 英文

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.