Noise-level estimation of time series using coarse-grained entropy.
We present a method of noise-level estimation that is valid even for high noise levels. The method makes use of the functional dependence of coarse-grained correlation entropy K2(epsilon ) on the threshold parameter epsilon. We show that the function K2(epsilon ) depends, in a characteristic way, on the noise standard deviation sigma. It follows that observing K2 (epsilon ) one can estimate the noise level sigma. Although the theory has been developed for the Gaussian noise added to the observed variable we have checked numerically that the method is also valid for the uniform noise distribution and for the case of Langevin equation corresponding to the dynamical noise. We have verified the validity of our method by applying it to estimate the noise level in several chaotic systems and in the Chua electronic circuit contaminated by noise.
Urbanowicz
Krzysztof
K
Faculty of Physics and Center of Excellence for Complex Systems Research, Warsaw University of Technology, Koszykowa 75, PL-00-662 Warsaw, Poland. urbanow@if.pw.edu.pl
Hołyst
Janusz A
JA