Measuring nonstationarity by analyzing the loss of recurrence in dynamical systems.
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.
Rieke
Christoph
C
Department of Epileptology, Medical Center, University of Bonn, Sigmund-Freud-Strasse 25, 53105 Bonn, Germany.
Sternickel
Karsten
K
Andrzejak
Ralph G
RG
Elger
Christian E
CE
David
Peter
P
Lehnertz
Klaus
K