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Statistical test for dynamical nonstationarity in observed time-series data

M.B. Kennel
Oak Ridge National Laboratory
Oak Ridge TN 37831-8088

Information in the time distribution of points in a state space reconstructed from observed data yields a test for "nonstationarity". Framed in terms of a statistical hypothesis test, this numerical algorithm can discern whether some underlying slow changes in parameters have taken place. The method examines a fundamental object in nonlinear dynamics, the geometry of orbits in state space, with corrections to overcome difficulties in real dynamical data which cause naive statistics to fail.

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Kennel MB (1997). Statistical test for dynamical nonstationarity in observed time-series data. Physical Review E 56(1): 316-321.
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