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- Title
The Cross-Correlation Integral: Its Features and Application to Nonstationarity Detection in Time Series.
- Authors
Fel’dshteın, I. V.
- Abstract
A generalization of the correlation integral, called the cross-correlation integral, is suggested. Features of the cross-correlation integral are studied, and a new attribute of a time series is defined. It is viewed as some kind of dimension and is associated with the fill rate of the attractor. It is demonstrated that the crosscorrelation integral is calculated in much the same way as the wavelet transform of the density of points in the attractor. The cross-correlation integral is applied to detection of nonstationarity in time series. A comparison with statistical methods is made.
- Subjects
INTEGRALS; TIME series analysis
- Publication
Technical Physics, 2000, Vol 45, Issue 6, p667
- ISSN
1063-7842
- Publication type
Article
- DOI
10.1134/1.1259701