Testing For Nonlinearity Using Redundancies: Quantitative and Qualitative Aspects

Abstract

A method for testing nonlinearity in time series is described based on information-theoretic functionals -- redundancies, linear and nonlinear forms of which allow either qualitative, or, after incorporating the surrogate data technique, quantitative evaluation of dynamical properties of scrutinized data. An interplay of quantitative and qualitative testing on both the linear and nonlinear levels is analyzed and robustness of this combined approach against spurious nonlinearity detection is demonstrated. Evaluation of redundancies and redundancy-based statistics as functions of time lag and embedding dimension can further enhance insight into dynamics of a system under study.Comment: 32 pages + 1 table in separate postscript files, 12 figures in 12 encapsulated postscript files, all in uuencoded, compressed tar file. Also available by anon. ftp to santafe.edu, in directory pub/Users/mp/qq. To be published in Physica D., [email protected]