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http://dx.doi.org/10.3741/JKWRA.2009.42.4.355

Influence of Noise on Chaotic Time Series  

Choi, Min-Ho (dept. of civil & architecture engrg., kyunghee univ.)
Lee, Eun-Tae (dept. of civil & architecture engrg., kyunghee univ.)
Kim, Hung-Soo (dept. of civil engrg., Inha univ.)
Publication Information
Journal of Korea Water Resources Association / v.42, no.4, 2009 , pp. 355-363 More about this Journal
Abstract
The purpose of this paper is to investigate the influence of noise on chaotic time series. We used two time series of Lorenz system and of Great Salt Lake's volume data which are well known as chaotic systems. This study investigated the attractors, correlation dimensions, and Close Returns Plots and Close Returns Histograms of two time series to investigate the influence of noise as increasing noise level. We performed Chi-square test to the relative frequency of Close Returns Histogram from Close Returns Plot for the investigation of stochastic process of chaotic time series as increasing noise level of time series. As the results, two time series were changed from chaotic to stochastic series as noise level is increased. Finally, we analyzed the effect of noise cancellation by using Simple Moving Average method. The results of applications of Simple Moving Average method to Lorenz and GSL time series showed that we could effectively cancel the noise. Then we could confirm the applicability of Simple Moving Average method to cancel the noise for the hydrologic time series having chaotic characteristics.
Keywords
Chaotic Time Series; Correlation Dimension; Close Returns Test; Noise Cancellation;
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