Delay Estimation from noisy time series

Abstract

We propose here a method to estimate a delay from a time series taking advantage of analysis of random walks with delay. This method is applicable to a time series coming out of a system which is or can be approximated as a linear feedback system with delay and noise. We successfully test the method with a time series generated by discrete Langevin equation with delay.Comment: Tentatively scheduled to appear as a Rapid Communication in Phys. Rev. E., March 199