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conference paper
Assessing Dependences within Multivariate Time Series Partializing the Knowledge of Thirds
2006
Conference on Nonlinear Theory and its Applications (NOLTA2006)
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.
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Nolta2006Proceeding.pdf
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