Assessing Dependences within Multivariate Time Series Partializing the Knowledge of Thirds

A method to estimate from multivariate measurements the dependences within a network of coupled dynamical systems is proposed. The method is non-parametric and resorts to a statistics of the eigen-spectrums of the time series partial correlation matrices. The method is successfully validated on numerically generated data, demonstrating its capability to distinguish between direct and indirect dependences.


Published in:
Conference on Nonlinear Theory and its Applications (NOLTA2006), 247-250
Presented at:
Conference on Nonlinear Theory and its Applications (NOLTA2006), Bologna, Italy, 11-14 September 2006
Year:
2006
Laboratories:




 Record created 2008-03-06, last modified 2018-03-17

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