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MTO 604E - Nonlinear Time Series Analysis

Course Objectives

The main purpose of this course is to reconstruct the phase space by using a time series in order to estimate the underlying dynamics that produces the time series in question.

Course Description

Dynamical systems and chaos. Characterization of dynamical systems: Autocorrelation function, Mutual information function, power spectrum, Lyapunov exponents, Poincaré section, fractal dimensions. Dimension algorithms. Determinism in time series: Reconstruction of phase space, choosing delay time, determination of embedding and attractor dimensions. Noise reduction in phase space. Prediction of chaotic time series. Reconstruction of differential equations from time series.

Course Coordinator
Kasım Koçak
Course Language
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