Recognition of colored noise in pseudo-phase space by using BDS statistics

Authors

DOI:

https://doi.org/10.3103/S0735272709120061

Abstract

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

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  3. E. Peters, Fractal Market Analysis: Applying Chaos Theory to Investment and Economics (Wiley, New York, 1994; Internet-trading, Moscow, 2004).
  4. L. Kanzler, Very Fast and Correctly Sized Estimation of the BDS Statistic (Christ Church and Department of Economics University of Oxford, 1999).
  5. J. Feder, Fractals (Plenum Press, New York, 1988; Mir, Moscow, 1991).
  6. М. Shreder, Fractals, Chaos, Power Laws. Miniatures from Infinite Paradise (NRC “Regular and chaotic dynamics, ” Izhevsk, 2001) [in Russian].
  7. http://en.wikipedia.org/wiki/Colors_of_noise.

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Published

2009-12-06

Issue

Vol. 52 No. 12 (2009)

Section

Research Articles