Cookies?
Library Header Image
LSE Research Online LSE Library Services

Consistent nonlinear dynamics: identifying model inadequacy

McSharry, Patrick E. and Smith, Leonard A. (2004) Consistent nonlinear dynamics: identifying model inadequacy. Physica D: Nonlinear Phenomena, 192 (1-2). pp. 1-22. ISSN 0167-2789

Full text not available from this repository.

Abstract

Empirical modelling often aims for the simplest model consistent with the data. A new technique is presented which quantifies the consistency of the model dynamics as a function of location in state space. As is well-known, traditional statistics of nonlinear models like root-mean-square (RMS) forecast error can prove misleading. Testing consistency is shown to overcome some of the deficiencies of RMS error, both within the perfect model scenario and when applied to data from several physical systems using previously published models. In particular, testing for consistent nonlinear dynamics provides insight towards (i) identifying when a delay reconstruction fails to be an embedding, (ii) allowing state-dependent model selection and (iii) optimising local neighbourhood size. It also provides a more relevant (state dependent) threshold for identifying false nearest neighbours.

Item Type: Article
Official URL: http://www.sciencedirect.com/science/journal/01672...
Additional Information: © Elsevier 2004
Library of Congress subject classification: Q Science > QC Physics
Sets: Research centres and groups > Centre for the Analysis of Time Series (CATS)
Departments > Statistics
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 29 Sep 2008 13:30
URL: http://eprints.lse.ac.uk/16919/

Actions (login required)

Record administration - authorised staff only Record administration - authorised staff only