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Open Access item Delay system identification using permutation entropy and statistical complexity: resonance-like behavior in a noise environment

Authors:Zunino, Luciano
Soriano, Miguel C.
Fischer, Ingo
Rosso, Osvaldo A.
Mirasso, Claudio R.
Issue Date:2010
Publisher:Consejo Superior de Investigaciones Científicas (España)
Citation:Publicaciones IFISC (2010)
Abstract:In this Letter a novel approach to identify delay phenomena in noisy time series is introduced. We show that it is possible to perform a reliable time delay identification by using quantifiers derived from information theory, more precisely, permutation entropy and statistical complexity. These quantifiers show clear extrema when the embedding delay τ matches the characteristic time delay τS of the system. Numerical data originating from a time delay system based on the well-known Mackey-Glass equations operating in the chaotic regime were used as test beds. We demonstrate that our method is straightforward to apply and robust to additive observational and dynamical noise. In particular, we find that the identification of the time delay is even more efficient in a noise environment. We discuss the sources of this particular noise-induced phenomenon.
Description:6 pages, 4 figures.-- PACS: 02.30.Ks – Delay and functional equations; 05.45.Tp – Time series analysis; 05.45.-a – Nonlinear dynamics and chaos; 02.50.Fz – Stochastic analysis.
Publisher version (URL):http://ifisc.uib.es/publications/publication-detail.php?indice=2087
Appears in Collections:(IFISC) Artículos

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