In this paper we propose a novel method for obtaining standard errors and confidence intervals for the correlation dimension estimated on an observed chaotic time series. This method is based on the U-Statistics theory and an ingenious combination of the moving block and parametric bootstrap procedures. We test the method on the basis of computer simulations for both clean and noisy series. We show that the distribution of the correlation dimension estimate obtained by our method agrees very well with the “true” distribution obtained by the Monte Carlo simulation. One of the main advantage of our method is the ability to estimate the distribution (and hence, the standard error) of the correlation dimension estimate using only one observed time series.
24 Jun 2011
Volume: 21 Issue: 2 Pages: 023124
Chaos: An Interdisciplinary Journal of Nonlinear Science