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Local filtering of noisy nonlinear time series |
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| Institution: | 1. Department of Economics & Finance, Southern Illinois University Edwardsville, Edwardsville, IL 62026-1102, USA;2. Department of Economics, Helmut Schmidt University, Holstenhofweg 85, P.O.B. 700822, 22008 Hamburg, Germany;3. Institute of Financial Studies, Southwestern University of Finance and Economics, Chengdu 610074, China;3. Department of Speech-Language Pathology, Dongshin University, Naju, South Korea;5. Koh Young Technology Inc., Seoul, South Korea |
| Abstract: | We investigate the use of different local nonlinear modelling and nonlinear filtering techniques to clean a noisy time series obtained from a deterministic chaotic systems. The methods are tested on data from the Ikeda map and the Mackey-Glass delay differential equation. We test the results of the filtered times series using the correlation dimension statistic and SNR gain. In all cases we see that local filtering has produced a new time series which is more consistent with the original clean time series. |
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