Interdisciplinary application of nonlinear time series methods

Abstract

This paper reports on the application to field measurements of time series methods developed on the basis of the theory of deterministic chaos. The major difficulties are pointed out that arise when the data cannot be assumed to be purely deterministic and the potential that remains in this situation is discussed. For signals with weakly nonlinear structure, the presence of nonlinearity in a general sense has to be inferred statistically. The paper reviews the relevant methods and discusses the implications for deterministic modeling. Most field measurements yield nonstationary time series, which poses a severe problem for their analysis. Recent progress in the detection and understanding of nonstationarity is reported. If a clear signature of approximate determinism is found, the notions of phase space, attractors, invariant manifolds etc. provide a convenient framework for time series analysis. Although the results have to be interpreted with great care, superior performance can be achieved for typical signal processing tasks. In particular, prediction and filtering of signals are discussed, as well as the classification of system states by means of time series recordings.

86 pages, 26 figures

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