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 ...
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...
Tomomichi Nakamura Yoshito Hirata Kevin Judd Devin Kilminster Michael Small
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...
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