Measuring Nonstationarity by Analyzing the Loss of Recurrence in Dynamical Systems

  • Rieke C
  • Sternickel K
  • Andrzejak R
 et al. 
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Abstract

We propose a measure for nonstationarity which is based on the analysis of distributions of temporal distances of neighboring vectors in state space. As an extension of previous techniques our method does not require a partitioning of the time series. Moreover, the deviation of mean recurrence times from frequency distributions that would be expected under stationary conditions allows us to estimate the statistical significance of the method.

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Authors

  • Christoph Rieke

  • Karsten Sternickel

  • Ralph G. Andrzejak

  • Christian E. Elger

  • Peter David

  • Klaus Lehnertz

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