319 citations · 1.3k across the 24 of their papers we have counts for
7 papers · 1 filter
Non-uniform state space reconstruction and coupling detection
Ioannis Vlachos, Dimitris Kugiumtzis
We investigate the state space reconstruction from multiple time series derived from continuous and discrete systems and propose a method for building embedding vectors progressive…
Transfer Entropy on Rank Vectors
Dimitris Kugiumtzis
Transfer entropy (TE) is a popular measure of information flow found to perform consistently well in different settings. Symbolic transfer entropy (STE) is defined similarly to TE…
Turning Point Prediction of Oscillating Time Series using Local Dynamic Regression Models
D. Kugiumtzis, I. Vlachos
In the prediction of oscillating time series, the interest is in the turning points of successive oscillations rather than the samples themselves. For this purpose a scheme has bee…
State Space Reconstruction for Multivariate Time Series Prediction
I. Vlachos, D. Kugiumtzis
In the nonlinear prediction of scalar time series, the common practice is to reconstruct the state space using time-delay embedding and apply a local model on neighborhoods of the…
Evaluation of mutual information estimators on nonlinear dynamic systems
A. Papana, D. Kugiumtzis
Mutual information is a nonlinear measure used in time series analysis in order to measure the linear and non-linear correlations at any lag . The aim of this study is to evalua…
Local prediction of turning points of oscillating time series
D. Kugiumtzis
For oscillating time series, the prediction is often focused on the turning points. In order to predict the turning point magnitudes and times it is proposed to form the state spac…