Estimation of interaction strength and direction from short and noisy time series

Dmitry A. Smirnov and Boris P. Bezruchko
Phys. Rev. E 68, 046209 – Published 29 October 2003; Erratum Phys. Rev. E 68, 059901 (2003)
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Abstract

A technique for determination of character and intensity of interaction between the elements of complex systems based on reconstruction of model equations for phase dynamics is extended to the case of short and noisy time series. Corrections, which eliminate systematic errors of the estimates, and expressions for confidence intervals are derived. Analytic results are presented for a particular case of linear uncoupled systems, and their validity for a much wider range of situations is demonstrated with numerical examples. The technique should be useful for the analysis of nonstationary processes in real time, including the situations of significant noise and restrictions on the observation time.

  • Received 9 June 2003
  • Corrected 7 November 2003

DOI:https://doi.org/10.1103/PhysRevE.68.046209

©2003 American Physical Society

Corrections

7 November 2003

Erratum

Authors & Affiliations

Dmitry A. Smirnov1,* and Boris P. Bezruchko1,2

  • 1Saratov Branch, Institute of RadioEngineering and Electronics of The Russian Academy of Sciences, 38 Zelyonaya Street, Saratov 410019, Russia
  • 2Department of Nonlinear Processes, Saratov State University, 155, Moskovskaya Street, Saratov 410026, Russia

  • *Corresponding author. Email address: smirnovda@info.sgu.ru

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Issue

Vol. 68, Iss. 4 — October 2003

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