We describe a method for identifying correlation structures in irregular fluctuations (short-term variabilities) of multivariate time series, even if they exhibit long-term trends. This method is based on the previously proposed small shuffle surr...
There are a number of good techniques for finding, in some sense, the best model of a deterministic system given a time series of observations. We examine a problem called model degeneracy, which has the consequence that even when a perfect model ...
We describe a method for investigating nonlinearity in irregular fluctuations (short-term variability) of time series even if the data exhibit long-term trends (periodicities). Such situations are theoretically incompatible with the assumption of ...
Tomomichi Nakamura Kevin Judd Alistair I. Mees Michael Small
INTERNATIONAL JOURNAL OF BIFURCATION AND CHAOS 16(8) 2153-2175 2006年8月 [査読有り]
To build good models, we need to know the appropriate model size. To handle this problem, a variety of information criteria have already been proposed, each with a different background. In this paper, we consider the problem of model selection and...
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 366(1) 377-386 2006年7月 [査読有り]
Price changes in financial data fluctuate irregularly or stochastically. This paper investigates whether the irregular fluctuations are random or have some kind of dynamics by applying a recently developed method, the small-shuffle surrogate metho...
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