2002 | OriginalPaper | Chapter
Embedding Theory: Introduction and Applications to Time Series Analysis
Authors : F. Strozzi, J. M. Zaldivar
Published in: Modelling and Forecasting Financial Data
Publisher: Springer US
Included in: Professional Book Archive
Activate our intelligent search to find suitable subject content or patents.
Select sections of text to find matching patents with Artificial Intelligence. powered by
Select sections of text to find additional relevant content using AI-assisted search. powered by
The fact that even though when we will not know the equations defining an underlying dynamical system and we are not able to measure all state space variables, we may be able to find a one-to one correspondence between the original state space and a reconstructed space using few variables means that it is possible to identify unambiguously the original state space from measurements. This has open a new field of research: non-linear time series analysis. The objective of this Chapter is to provide the reader with an overall picture of the embedding theory and time-delay state space reconstruction techniques. We hope that this introductory chapter will guide the reader in understanding the subsequent chapters where different relevant aspects of dynamical systems theory are going to be discussed in more depth and detail.