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Measuring Nonlinear Dependence Between Time Series Based on Correlation Dimension

机译:基于相关维数的时间序列之间的非线性相关性度量

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摘要

In this paper, it is proved that the correlation dimension estimate of a nonlinear dynamical system with its multivariate observation series is the same as that with its univariate observation series. Based on this result, an inference method is presented, and the Nonlinear Dependence Coefficient is defined. This method is designed for testing nonlinear dependence between time series, and can be used in economic analysis and forecasting. Numerical results show the method is effective.
机译:本文证明了非线性动力学系统的多元观测序列与单变量观测序列的相关维估计是相同的。基于此结果,提出了一种推理方法,并定义了非线性相关系数。该方法用于测试时间序列之间的非线性相关性,可用于经济分析和预测。数值结果表明该方法是有效的。

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