Improved statistical test for nonstationarity using recurrence time statistics.
We have recently introduced a measure for nonstationarity using a recurrence time statistic to assess stationarity. In this paper we propose an extension of this method based on a detailed study of the statistics for the case of stationary systems. We derive a simple scheme that allows us to estimate the effective number of degrees of freedom relevant for this statistic. This substantially improves the statistical significance of the method and can be used to improve the significance of various other nonlinear statistics.
Rieke
Christoph
C
Department of Epileptology, Medical Center, University of Bonn, Sigmund-Freud-Strasse 25, 53105 Bonn, Germany. christophrieke@yahoo.com
Andrzejak
Ralph G
RG
Mormann
Florian
F
Lehnertz
Klaus
K