Orthogonal Projection, Embedding Dimension and Sample Size in Chaotic Time Series from a Statistical Perspective [and Discussion]
PHILOSOPHICAL TRANSACTIONS OF THE ROYAL SOCIETY A-MATHEMATICAL PHYSICAL AND ENGINEERING SCIENCES(1994)
摘要
By studying systematically the orthogonal projections, in a particular sense associated with a (random) time series admitting a possibly chaotic skeleton and in a sequence of suitably defined L(2)-spaces, we describe a geometric characterisation of the notion of embedding dimension within a statistical framework. The question of sample size requirement in the statistical estimation of the said dimension is addressed heuristically, ending with a pleasant surprise: the curse of dimensionality may be lifted except in the excessively stringent cases.
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关键词
sample size,curse of dimensionality,orthogonal projection
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