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Measuring nonstationarity by analyzing the loss of recurrence in dynamical systems
Christoph Rieke1, Karsten Sternickel, Ralph G Andrzejak
1Department of Epileptology, Medical Center, University of Bonn, Sigmund-Freud-Strasse 25, 53105 Bonn, Germany.
Physical Review Letters
|June 13, 2002
Abstract:
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.