Modified correlation entropy estimation for a noisy chaotic time series.

International Centre for Water Hazard and Risk Management, Public Works Research Institute, 305-8516 Tsukuba, Japan.
Chaos (Woodbury, N.Y.) (Impact Factor: 1.8). 06/2010; 20(2):023104. DOI: 10.1063/1.3382013
Source: PubMed

ABSTRACT A method of estimating the Kolmogorov-Sinai (KS) entropy, herein referred to as the modified correlation entropy, is presented. The method can be applied to both noise-free and noisy chaotic time series. It has been applied to some clean and noisy data sets and the numerical results show that the modified correlation entropy is closer to the KS entropy of the nonlinear system calculated by the Lyapunov spectrum than the general correlation entropy. Moreover, the modified correlation entropy is more robust to noise than the correlation entropy.

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