Smooth local subspace projection for nonlinear noise reduction.
Many nonlinear or chaotic time series exhibit an innate broad spectrum, which makes noise reduction difficult. Local projective noise reduction is one of the most effective tools. It is based on proper orthogonal decomposition (POD) and works for both map-like and continuously sampled time series. However, POD only looks at geometrical or topological properties of data and does not take into account the temporal characteristics of time series. Here, we present a new smooth projective noise reduction method. It uses smooth orthogonal decomposition (SOD) of bundles of reconstructed short-time trajectory strands to identify smooth local subspaces. Restricting trajectories to these subspaces imposes temporal smoothness on the filtered time series. It is shown that SOD-based noise reduction significantly outperforms the POD-based method for continuously sampled noisy time series.
Department of Mechanical, Industrial & Systems Engineering, University of Rhode Island, Kingston, Rhode Island 02881, USA.
David
D
Chelidze