Recognition of colored noise in pseudo-phase space by using BDS statistics
DOI:
https://doi.org/10.3103/S0735272709120061Abstract
Algorithm for calculating BDS statistics based on determination of correlation integral is presented. The algorithm is based on statistical significance of correlation dimensionality of a process, represented in pseudo-phase space of the given dimensionality. For the first time a numerical method for classification of random processes by their “color” with using statistical properties of BDS statistics is suggested.
References
- О. I. Sheluhin, А. М. Tenyakshiyev, and А. V. Osin, Fractal Processes in Telecommunications (Radiotekhnika, Moscow, 2003) [in Russian].
- V. А. Tuzov and V. I. Sivov, Interference Immunity of Radio Systems with Complicated Signals (Radio i Svyaz’, Moscow, 1985) [in Russian].
- E. Peters, Fractal Market Analysis: Applying Chaos Theory to Investment and Economics (Wiley, New York, 1994; Internet-trading, Moscow, 2004).
- L. Kanzler, Very Fast and Correctly Sized Estimation of the BDS Statistic (Christ Church and Department of Economics University of Oxford, 1999).
- J. Feder, Fractals (Plenum Press, New York, 1988; Mir, Moscow, 1991).
- М. Shreder, Fractals, Chaos, Power Laws. Miniatures from Infinite Paradise (NRC “Regular and chaotic dynamics, ” Izhevsk, 2001) [in Russian].
- http://en.wikipedia.org/wiki/Colors_of_noise.
Downloads
Published
2009-12-06
Issue
Section
Research Articles