Discriminating dynamical from additive noise in the Van der Pol oscillator

Boschi, Cristian Degli Esposti; Ortega, Guillermo; Louis, Enrique

Discriminating dynamical from additive noise in the Van der Pol oscillator

Authors

Boschi, Cristian Degli Esposti

Ortega, Guillermo

Louis, Enrique

Description

We address the distinction between dynamical and additive noise in time series analysis by making a joint evaluation of both the statistical continuity of the series and the statistical differentiability of the reconstructed measure. Low levels of the latter and high levels of the former indicate the presence of dynamical noise only, while low values of the two are observed as soon as additive noise contaminates the signal. The method is presented through the example of the Van der Pol oscillator, but is expected to be of general validity for continuous-time systems.
12 pages (Elsevier LaTeX class), 4 EPS figures, submitted to Physica D (4 july 2001)