Information theoretic test for nonlinearity in time series

Milan Paluš, Vladimír Albrecht, Ivan Dvořák
1993 Physics Letters A  
A diagnostic test for identifying nonlinear dynamical relationships in time series, based on mutual information and redundancy, functionals introduced in information theory, is proposed. Its ability to distinguish (noised) multiperiodic and random time series from time series generated by chaotic dynamical systems is demonstrated. The latter arecharacterized by specificbehaviour of marginal redundancies reflecting the increase of uncertainty in time due to positive information production rate.
doi:10.1016/0375-9601(93)90827-m fatcat:vl6q4rjh4zhnjly3kt7g6xz24i