Detection and characterization of changes of the correlation structure in multivariate time series

Physical Review E - Statistical, Nonlinear, and Soft Matter Physics

Volumn 71, Issue 4, 2005, Pages

  Müller, Markus ^a   Baier, Gerold ^a   Galka, Andreas ^b,c   Stephani, Ulrich ^b   Muhle, Hiltrud ^b  

^a UNIVERSIDAD AUTÓNOMA DEL ESTADO DE MORELOS   (Mexico)

^b UNIVERSITY OF KIEL   (Germany)

^c INSTITUTE OF STATISTICAL MATHEMATICS   (Japan)

Author keywords

[No Author keywords available]

Indexed keywords

CORRELATION MATRIX; MULTIVARIATE DATA; PHASE SYNCHRONIZATION; STOCHASTIC OSCILLATIONS;

CHAOS THEORY; CORRELATION METHODS; EIGENVALUES AND EIGENFUNCTIONS; FOURIER TRANSFORMS; MATRIX ALGEBRA; STATISTICAL MECHANICS; SYNCHRONIZATION;

TIME SERIES ANALYSIS;

EID: 41349094118     PISSN: 15393755     EISSN: 15502376     Source Type: Journal    
DOI: 10.1103/PhysRevE.71.046116     Document Type: Article

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