PROGRESS OF THEORETICAL PHYSICS SUPPLEMENT 179(179) 198-208 2009年 [査読有り]
For the analysis of nonstationary stochastic time series we introduce a formulation to estimate the underlying time-dependent parameters. This method is designed for random events with small numbers that are out of the applicability range of the n...
Recently a new framework has been proposed to explore the dynamics of pseudoperiodic time series by constructing a complex network [J. Zhang, M. Small, Phys. Rev. Lett. 96 (2006) 238701]. Essentially, this is a transformation from the time domain ...
Tomomichi Nakamuraa   Michael Small   
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 383(1) 96-101 2007年9月 [査読有り]
Financial data usually show irregular fluctuations and some trends. We investigate whether there are correlation structures in short-term variabilities (irregular fluctuations) among financial data from the viewpoint of deterministic dynamical sys...
Junfeng Sun   Yi Zhao   Tomomichi Nakamura   Michael Small   
PHYSICAL REVIEW E 76(1) 016220 2007年7月 [査読有り]
Time-frequency analysis is performed for chaotic flow with a power spectrum estimator based on the phase-space neighborhood. The relation between the reference phase point and its nearest neighbors is demonstrated. The nearest neighbors, represent...
INTERNATIONAL JOURNAL OF BIFURCATION AND CHAOS 17(5) 1741-1752 2007年5月 [査読有り]
In this paper we consider the problem of estimating the parameters of a nonlinear dynamical system given a finite time series of observations that are contaminated by observational noise. The least squares method is a standard method for parameter...