On selecting models for nonlinear time series

Kevin Judd, A.I. Mees

Research output: Contribution to journalArticle

202 Citations (Scopus)


Constructing models from time series with nontrivial dynamics involves the problem of how to choose the best model from within a class of models, or to choose between competing classes. This paper discusses a method of building nonlinear models of possibly chaotic systems from data, while maintaining good robustness against noise. The models that are built are close to the simplest possible according to a description length criterion. The method will deliver a linear model if that has shorter description length than a nonlinear model. We show how our models can be used for prediction, smoothing and interpolation in the usual way. We also show how to apply the results to identification of chaos by detecting the presence of homoclinic orbits directly from time series.
Original languageEnglish
Pages (from-to)426-444
JournalPhysica D
Issue number4
Publication statusPublished - 1995

Fingerprint Dive into the research topics of 'On selecting models for nonlinear time series'. Together they form a unique fingerprint.

Cite this