A new method of determining the optimal embedding dimension based on nonlinear prediction

作者：Meng Qing Fang^*; Peng Yu Hua; Xue Pei Jun

来源：Chinese Physics, 2007, 16(5): 1252-1257.

• embedding dimension
• nonlinear autoregressive prediction model
• nonlinear time series

A new method is proposed to determine the optimal embedding dimension from a scalar time series in this paper. This method determines the optimal embedding dimension by optimizing the nonlinear autoregressive prediction model parameterized by the embedding dimension and the nonlinear degree. Simulation results show the effectiveness of this method. And this method is applicable to a short time series, stable to noise, computationally efficient, and without any purposely introduced parameters.

• 出版日期2007-5
• 单位山东大学