J. Japan Statist. Soc., Vol. 31 (No. 1), pp. 27-38, 2001
Kaoru Fueda and Takashi Yanagawa
Abstract. This paper considers the chaotic time series with additive dynamic noise. Defining the embedding dimension and delay time, we discuss their mathematical properties. A method of estimating the embedding dimension and delay time is proposed, and the consistency of the estimators is proved.
Key words and phrases: Chaotic time series, non-linear autoregressive model, embedding dimension, delay time, cross-validation.