Measuring nonstationarity by analyzing the loss of recurrence in dynamical systems

Rieke, Christoph; Sternickel, Karsten; Andrzejak, Ralph Gregor; Elger, Christian E.; David, Peter; Lehnertz, Klaus

doi:http://dx.doi.org/10.1103/PhysRevLett.88.244102

Measuring nonstationarity by analyzing the loss of recurrence in dynamical systems

Citation

Rieke C, Sternickel K, Andrzejak RG, Elger CE, David P, Lehnertz K. Measuring nonstationarity by analyzing the loss of recurrence in dynamical systems. Phys Rev Lett. 2002;88:244102. DOI: 10.1103/PhysRevLett.88.244102

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.