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Improved statistical test for nonstationarity using recurrence time statistics

TitleImproved statistical test for nonstationarity using recurrence time statistics
Publication TypeJournal Article
2004
AuthorsRieke C, Andrzejak RG, Mormann F, Lehnertz K
JournalPHYSICAL REVIEW E
Volume69
Pagination046111
Date PublishedAPR
ISSN1539-3755

We have recently introduced a measure for nonstationarity using a recurrence time statistic to assess stationarity. In this paper we propose an extension of this method based on a detailed study of the statistics for the case of stationary systems. We derive a simple scheme that allows us to estimate the effective number of degrees of freedom relevant for this statistic. This substantially improves the statistical significance of the method and can be used to improve the significance of various other nonlinear statistics.

10.1103/PhysRevE.69.046111