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
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 |
| Date Deposited: | 29 Sep 2008 13:30 |
| URL: | http://eprints.lse.ac.uk/16919/ |
Actions (login required)
 |
Record administration - authorised staff only |
